If you are referring to a cog that is made for a splined freehub, then there is basically nothing (cheap) you can do to make it fixed without totally destroying your hub. You need a new wheel.

If you are referring to a thread-on BMX-type freewheel, you need a freewheel remover tool and a really big crescent wrench (or bench vice) to remove it. Once its removed you can thread on a fixed gear cog and thread it on really tight using the rotafix method.