You will roll over your 401K funds into an IRA that you open. You should open an IRA with vanguard and invest there. The process is pretty straight forward. I did the same thing several years ago with my 401k - I rolled it into a new IRA I opened with vanguard.
When you start a new job with a company that has a 401k, that account will be separate from your IRA. When you end up leaving that job, you will, once again roll over that money into your IRA. In the meantime you can contribute to your IRA every year.