If you must use an ESP as a module instead of experimenting with a development board (which are equally cheap by the way), make sure you use a proper programming adapter, like this one:
Note: I've modified above adapter and added a RESET-button for easy of use.
Also, see this topic.
The Baud rate of an ESP at boot is 74880 BTW.
You can see if the ESP does anything at all, by connecting its TX to the RX of an RS232 (TTL-level) port (via a USB adapter) of a PC.
Also pull-up CH_PD, RESET (and optionally GPIO0 and GPIO2) to high using resistors.
Fire up a terminal program like PuTTY, set it to 74880 Baud on the used COM-port.
Next power up the ESP (3.3V@ >= 0,5A to VCC and 0V to GND)
If all's well (and the ESP is still working), you should see some boot-message appear on the terminal screen.
ets Jan 8 2013,rst cause:?, boot mode:(?,?)