There is a trick for this, square the integral:
[tex]
\left(\int_{-\infty}^{\infty}e^{-x^{2}}dx\right)^{2}=\int_{-\infty}^{\infty}\int_{-\infty}^{\infty}e^{-(x^{2}+y^{2})}dxdy[/tex]
Now the idea is to make a change of co-ordinates from cartesian to polar...
So move on from my explanation:
[tex]
\int_{-\infty}^{\infty}\int_{-\infty}^{\infty}e^{-(x^{2}+y^{2})}dxdy=\int_{0}^{2\pi}\int_{0}^{\infty}re^{-r^{2}}drd\theta =2\pi\int_{0}^{\infty}re^{-r^{2}}dr[/tex]
I think I will leave the last bit to you as it's standard integration.