Well the best way to do it is to plug it into your computer while loader.exe is open
MAKE SURE YOU OPEN LOADER.EXE BEFORE CONNECTION YOUR BB! (Program Files/Common Files/Research in Motion/AppLoader/loader.exe) and click next where you will see the following screen:

From here I will paste from the Crackberry 101 tutorials:
"
Step #2: We need to connect the BlackBerry to the Computer via USB cable. But here's where the tricky part comes in with the Nuked BlackBerry. Do you see in the image above where it says COM1? What we want to do is plug in the BlackBerry, and when
COM1 switches to say
USB-PIN:UNKNOWN we immediately click
Next. This catches the BlackBerry and takes it out of the constant reboot cycle and allows you to then reload the Operating System.
Tip: The USB-PIN:UNKNOWN option will display for a few seconds when the BlackBerry is first connected/flashing its LED in red. With a Nuked BlackBerry, That occurs when the device is in the initial start-up part of it's reboot sequence. The easiest way to get that to happen (vs. waiting for that step in the reboot sequence where you have a tenth of a second to hit Next before you lose your chance) is to simply pull the battery from the BlackBerry. With the battery pulled, connect the BlackBerry to the USB connector and as SOON as you see USB-PIN:UNKNOWN hit Next. You have to be quick still, but using this method you are in control of the timing. From there you can put the battery back in and battery cover back on (
Make Sure you install the battery or else when the OS update is completing and the device disconnects from the computer to reboot, it will lose the power provided by the USB connection and you will get an error and have to do it all over again!).
** If you don't get it right the first time, try again (unplug from USB, pull battery, connect and hit Next while USB-PIN:Unknown is showing). You have to be fast and the timing is key, so it may take you three or four tries"