Copyright exists the moment your painting is created. The US Copyright Office describes it as existing when your work is "created and fixed in a tangible form that it is perceptible either directly or with the aid of a machine or device".1
You don't have to do anything special for copyright to exist, it's automatically there and yours as the creator of the painting (unless it's work for hire).
How long your copyright lasts depends on which country you're living in (see Artist's Copyright FAQ: How Long Does Copyright Last?).
Disclaimer: The information given here is based on US copyright law and is given for guidance only; you're advised to consult a copyright lawyer on copyright issues.
References:
1. US Copyright Office, Copyright FAQ: When is My Work Protected?. Accessed 17 June 2010.
