Then you need practise with solving differential equations. However, the equations are in general difficult. In this case, you'll need to have learned how to do series solutions of differential equations. The procedure for this equation is something like (I haven't done it by hand for years -- it's a standard enough that I can remember the form of the solution):
1. Assume that u=P(x) exp(-x^2), because the for the solution to be physical, it must equal zero at infinity (in general be L^2 integrable).
2. Get a differential equation for P, and solve by series method. This will show that the only solutions which are physical (by the same requirements again) are finite order polynomials -- which are called the Hermite polynomials. They are a well-known polynomial series.
3. Normalise, if necessary.
The steps are not difficult if you're already acquainted, but tedious.