First get the color ... stain. Because it's pine you will need a pre-stain sealer to avoid blotching.

Then make it a maintainable finish - a clear polyurethane would work. Wax is not durable, but for an adult's bed might be enough.

First timers find min-wax user friendly. Vist their site to read about their selection.

Try to get test wood very similar to the wood in the bed. Reason? All woods take stain differently. You might find the test pieces are looking like you want, and the actual bed will be a lot different.

One way to do that is to test on the inside areas of the bed that will not be seen.

The easiest finish for beginning DIYers is water based polyurethane. It is the easiest to apply(roller/brush/wipe-on) and does not change the colors of the stains. The stuff is milky looking as it is applied and dries completely clear. You will need about three coats. Just be aware water based poly is easy to over do and get air bubbles in it, Foam rollers/brushes are really bad about causing bubbles.