Most lenses will have markings ("distance scale") on them that give you the approximate distance to where it's focused, depending on where the focus ring is.
Here's a shot of a lens with markings on the focus ring (no particular reason for this lens, just had this picture open in another tab.)
On the focus ring, you'll see markings with distances on them in "F"eet and "M"eters, with a dot showing where to take a reading from. The lens in the photo is focused to infinity. Other marking are 7ft, 3ft, 2ft, etc.
So, that's how you focus to infinity. As for why - well, if you're far enough away from something and don't want to worry about the camera trying to focus, you can manually focus it to infinity, and as long as you're far enough away (how far away depends on the lens and aperture), you'll still get things in focus. This is good for situations like taking photos of the fireworks behind the castle as a Disney park.
Now really, the setting it to hyperfocal distance for your chosen aperture is even better, but that's a whole different topic.
