You'll need Interlibrary Loan (ILL) whenever you need to get an item that the Library doesn't own. Often you can get the item from another library.
You can either use ILL directly, or by using OCLC WorldCat.
OCLC WorldCat is a great resource for finding out what might be available and getting it via Interlibrary Loan.
When you search using WorldCat, you can find out if the Library owns the material you're looking at first, before you make a request. Have a look at the following:
The red arrow shows you where to look--if it says SOUTHERN METHODIST UNIV, CENT, you'll know that SMU Libraries owns the item you're looking at. You can click on "Search the catalog at Southern Methodist University" to do a Library Catalog search.
The red arrow below shows you where to click to start your ILL request. Please only click on this if the item isn't owned by SMU--we can't usually get a book on loan from another library if we already have it.