This is by definition. The trick is to define a velocity that is a four-vector. To that end you describe the trajectory of a (massive) particle as a function of its proper time, i.e., the time which is measured in the "comoving" frame of the particle, where the particle is always at rest.
In an inertial frame you have a time coordinate ##t## and space coordinates ##\vec{x}##. The trajectory in the usual sense is then written as ##\vec{x}(t)##, and the usual three-velocity is given by
$$\vec{v}=\frac{\mathrm{d} \vec{x}}{\mathrm{d} t},$$
but this quantity has pretty complicated transformation properties under Lorentz transformations. That's why one uses the trick to use the proper time of the particle as parameter.
The proper time is defined by its infinitesimal change, when the time ##t## changes infinitesimally by ##\mathrm{d} t##:
$$\mathrm{d} \tau^2=\frac{1}{c^2} (c^2 -\vec{v}^2) \mathrm{d} t^2.$$
This makes only sense if ##\vec{v}^2<c^2##. Then ##\tau## is monotonously increasing with ##t## and it is invariant under Lorentztransformations.
Now it's easy to define a Minkowski four-vector which describes the velocity of the particle in a covariant manner. You describe the particle's trajectory in Minkowski space by ##x^{\mu}(\tau)##, where ##x^{\mu}=(c t,\vec{x})## is the space-time four vector in an arbitrary inertial frame of reference. The four-vector is then given as
$$u^{\mu}=\frac{\mathrm{d} x^{\mu}}{\mathrm{d} \tau}.$$
Since ##\mathrm{d} \tau## is a Lorentz scalar and ##\mathrm{d} x^{\mu}## a four-vector (more precisely the components of a four-vector wrt. an inertial reference frame), ##u^{\mu}## is one. From the definition of the proper time you immediately get
$$u^{\mu} u_{\mu}=c^2.$$
It's also easy to get the relation between the four-velocity and the usual three-velocity:
$$u^{\mu} = \frac{\mathrm{d} x^{\mu}}{\mathrm{d} t} \frac{\mathrm{d} t}{\mathrm{d} \tau}=\frac{1}{\sqrt{1-\vec{v}^2/c^2}} \begin{pmatrix} c \\ \vec{v} \end{pmatrix}.$$
For more details, see my (still unfinished) FAQ article on special relativity:
http://fias.uni-frankfurt.de/~hees/pf-faq/srt.pdf