You need to open the Serial connection at the start of your program with :
Serial.begin(9600);
Full Program
void setup()
{
Serial.begin(9600);
Serial.println("In setup");
}
void loop()
{
Serial.println("In loop");
delay(2000);
}
You can then view the output in the Serial Monitor in the Arduino IDE (>Tools > Serial Monitor). 9600 is the baud rate and needs to match what is set in your monitor.