Although masturbation is a healthy activity that humans engage in naturally, when we're growing up, we're often discouraged from touching ourselves "down there" and that inhibits natural exploration of masturbatory techniques. And it's not like they teach it in school. At least not since Surgeon General Jocelyn Elders got fired.
Most guys figure out pretty easily what to do to get themselves off, but the female body is more complicated and mysterious. There are a lot of different methods for women to use to stimulate themselves to orgasm, and what they choose to do depends on what feels best to them. Some women discover when they're young that it feels good to rub their genitals against sheets or blankets, or an object like a teddy bear, pillow, or furniture. They may continue using this method into adulthood. Others prefer to use manual stimulation, caressing the clitoris (the button-like nub protruding above the vagina) with the fingers to bring on a climax. Some people use objects, anything from hairbrushes to hot dogs, to stimulate the clitoris and insert into the vagina. Some women like to use a vibrator or a stream of water from a shower or faucet to hit their hot button. People can be very creative.