Careful not to burn yourself, of course, use a lighter to melt the ends. Slowly bring the flame closer to the ends until you see it start to melt. Don't touch the ribbon with the flame, just hold it about a half inch or so away. Move the flame down the edge to melt the whole way across. If you keep it there too long or bring it too close, you could burn it or make a bumpy edge. Just trim it off and try again if you do.
Wrap one end under the pony and tie like how you begin to tie your shoe. One end will turn up, and one end will turn down. Choose the end that turns up to make the first loop. Notice that one side of the ribbon is shinier than the other. Turn your loop so that the shiny side is out. (If you are using gross-grain ribbon--the rougher kind with ridges--it doesn't matter which side turns out.)