As Danny Chen noted, you'll really need to provide more detail about what you have and what you're trying to do to get a more direct answer.
First, we need to be sure we're all talking about the same thing. While many individuals may think that a pension and a 401(k) or other company-sponsored retirement plan are the same thing, they certainly are not. Your options and tax ramifications can vary widely depending on whether this is a "defined benefit plan" (a pension) or a "defined contribution plan" (like a SEP IRA, 401(k) or 403(b) among other options).
It will also be useful to know how old you are, if you're still employed with the company sponsoring the plan and what you're trying to do with the money (change investments, rollover to a new employer, etc.).
To get information about a pension or a 401(k) start with the HR department. Then ask for a summary plan document. This will be the very least that will be helpful to any financial advisor you may ask or work with in the future.
