Most Colorado parks have fire bans, but if you're in a desperate situation, you may have no choice. Use a Bic lighter, strike-anywhere matches, or old-school flint and steel.

Lighter or matches at hand, dig a shallow hole and surround it with rocks to prevent the fire from spreading. Gather tinder (dead grass, pine needles, paper), kindling (small dead twigs, dry bark), and fuel (larger dead branches or logs). Place the tinder in the hole; don't compact it too tightly since oxygen needs to be able to circulate. Light the tinder. Slowly set up the small twigs like a tepee around it, and gradually increase the size of the branches. Once you have a decent-size fire, go collect more wood.