Remember if you want to cook it, get an edible pumpkin rather than a carving pumpkin. If you cook a carving pumpkin it'll be bland, watery and tasteless.
The supermarkets this week have been full of carving with the edible pumpkins sold out, apart from Waitrose, which has a selection of different types of pumpkin and squash.
For cooking: As skinnyminny says, remove and seeds and the pith. Personally I cut it into wedges and roast it, or, if I'm using a mini munchkin pumpkin, cut the lid off and roast it - that way you can stuff the inside, too!