I started the regular way, by creating a profile, taking the time to fill in my job history properly, and to do as many oDesk tests as possible. I set my initial price lowish to reflect absence of history.
The first jobs I got were not in IT but in translation and copywriting, where demonstrating my skills was much easier. To get the first job in IT, I had to offer references outside oDesk - which were followed up - to make my profile credible.
Once I had my first jobs, my main focus was on delivering very high quality work - even if it was not always very well paid - so as to build up a very positive feedback history. My main focus at this stage was on creating a good profile, not making money.
Once I had enough history and feedback, new job offers started rolling in, and I stopped looking for work.
What did you do when you started to get your first clients?