If a person is lost in the wild the first thing to do is find water even when one does not feel thirsty (you will be soon). A person can go without water for 3 days, that's a common rule. In hot enviroments however you can die in less then 2 days so finding water is vital. It doesn't realy matter if you find a small pond, a lake or a waterfall aslong as it's not salt water. Once you have found water you need to make a choice.. Do you filter or clean the water or do you drink it straight from the stream. If you are thirsty you can be tempted to drink it immediately without filtering it and there definately is a risk involved here. Water may look clean but there may be a dead animal rotting in that water a short distance away from you. And waters close to cities should be avoided.
If you think your watersource is not clean then it needs to be filtered. Everyone has their own opinion about what is the best way to do this. If you ask me, If you're in doubt about if it's safe to drink then you need to boil the water. Some say you need to boil for 3 or even 10 minutes.. this is absolute cr*p.. Once the water has reached it's boiling point all the water would be free from unhealthy bacteria.
If the water looks very dirty then just boiling it might not be enough. Camping and other outdoor stores often sell water filters usualy these are pumps, dirty water goes in and clean water gets pumped out. You can also but water purification tablets and they are often put in survival kits.
There is also a real populair design for a do it yourself water filter. You take an empty plastic soda bottle, get rid of the top and cut off the bottom with a knife, clean the inside with a little water. Then you take a piece of cotton cloth (other materials might work?) and you put this on the inside of the bottle at the top. Now it is time to fill it up with multiple layers of sand, gravel, dirt and powdered charcoal. Now you hang it over your canteen, bowl or whatever you're using. Water is poured at the bottom of the bottle, gets filtered and is drinkable once it exits the bottletop.
What if there is no water?
There are always places on earth where there are no lakes, rivers or other source of water and i'm not just talking about the deserts. You can walk for miles and miles and still not see any water. So what are other ways to get water?
Snow seems a good idea and it is, however eating snow can get your body temperature falling rapidly to the point where it gets realy dangerous, and often it can make you feel even more thirsty. So it needs to be melted and warmed up a bit. The problem with snow is that snow is made up of 80% air.. So you'll need large quiantities in order to fill a canteen. Not the best option but it might be the only option available in some areas. In hot areas you may look for dark areas in the soil, when you dig them out there a big chance of finding water. Also look for signs of animal activity, in areas where lots of animals come together there is usualy water nearby. Also remember that rainwater is always fresh and does not need to be filtered.
You can also get water from vegetation. A populair technique is to bind a clear plastic bag over a branch. When the water inside the plant evaporazes it gets traped in the bag. Here is also a good video of a different techniques.