Covalent bonds happen between two non-metals.  One of the most common of
these is water (H
2O).  First lets look at the two atoms involved.
Remember, hydrogen fits well in either group 1 or group 17, in the case
of bonding it behaves like a halogen (group 17).  This means that can be
considered to have space for one more electron in it's outer shell in order
to have a full set or it can lose one electron to have an empty shell!
Hydrogen

Notice that the nucleus is
not shown, that is because
the nucleus doesn't effect
the bonding.
Oxygen

With 6 electrons in its
outer shell, it has two
spaces to fill.  One on the
top and one on the
bottom in this picutre
Covalent Bonds - The Atoms