Depending on your nationality you might need a visa to cross the border into the Netherlands or into the Schengen area (which comprises of many European countries).
Schengen visa (short term visa)
This is a visa which allows you to stay for a maximum of 90 days. It depends on your nationality if you need a visa. You can check if there is a visa requirement for you by using this website from the Dutch Ministry of Foreign Affairs.
You can find more information about Schengen visa on this website. On this page you can read how to apply for a Schengen Visa.
Documents for Schengen Visa
A Schengen visa will be granted only if certain conditions are met. When applying for the visa at the Dutch embassy, do not forget to bring all necessary paperwork. You can find a checklist on the website of the IND. Please check with the Dutch mission whether you need to bring any documents in addition to the ones mentioned below, as this may vary.