Lie down, elevate your legs, and support your head.

Heat exhaustion is a feeling of fatigue and illness, including dizziness and nausea, which occurs when the body loses too much salt and water as the result of heavy perspiration. Heat exhaustion is fairly common and can happen to people who exercise or work in hot conditions. While heat exhaustion is not particularly dangerous in itself, it is temporarily debilitating and can progress to potentially fatal heat stroke if not treated promptly.

[edit] Steps

Get to a cool place. Get into the shade or into an air-conditioned building. If no cool place is immediately available, direct an oscillating fan at yourself to cool yourself down.
Loosen or remove clothing. If you're wearing tight-fitting clothing, loosen it. Cooling will be most efficient if the clothing is removed.
Lie down with your legs elevated. Elevating the legs will improve the flow of blood to the brain.
Slowly Drink ample fluids. Water, sweet fluids (sports drinks, not soda), or a solution of 5 ml (1 teaspoon) salt dissolved in 1 liter of water can help quickly replace the water you've lost through sweating. Sit up or support your head while you're drinking to avoid choking.
Wipe yourself down with a damp cloth. Soak a cloth or sponge in lukewarm water and rub it over your body, especially your head. Alternatively, you can fill a spray bottle with cool water and spray yourself with it. Sweat helps the body to cool as it evaporates, and applying moisture to the skin can perform the same function.
Take Tylenol for the headache, if necessary.
See a doctor or dial 911. If symptoms persist for more than an hour; if fever of 102 ºF (39 ºC) or higher is present; if your condition worsens; or if nausea or vomiting prevents you from drinking fluids, seek medical attention at once. Even if you recover quickly, you should still have a doctor check you out.

[edit] Tips

Sports drinks containing electrolytes can replenish the needed water and salts quickly.
Always wear a hat when out in the sun, especially if you are susceptible to sun stroke.
Bring water bottles to keep you hydrated in the sun.
The SECOND you feel heat exhaustion or a sun stroke coming on, get out of the sun and lie down.
If you have a hose available, cool yourself off with a light spray every 20 minutes.

[edit] Warnings

While a weak saline solution can replace salts that the body needs, be sure not to use more than 5 ml (1 teaspoon) salt per liter of water.
Be careful to avoid over-hydration or water poisoning by sipping electrolyte replacement drinks rather than "chugging" water.
Do not cool down by only sitting in front of a fan, this can cause severe dehydration, often leading to death.
While these instructions can successfully treat most minor cases of heat exhaustion, they may not suffice to treat some cases, and more serious heat-related injuries such as heat stroke require prompt medical attention. Always seek professional medical advice in addition to self-treatment.
Do not drink alcoholic beverages when experiencing heat exhaustion.
Long exposure to the sun, unprotected, can bring on more than sun stroke. Always be careful and prepared.