Currently, the alpha version will continually send you new prisoners each and every day. It's meant to ratchet up the pressure each and every day, dealing with your new inmates.
That said, you CAN avoid gaining new prisoners by removing your delivery area next to the road. Just click the Rooms button, and use right click to remove the delivery designation. You still need a delivery area, though, so move it further away from the road. The game logic has no idea where to put the prisoners, so they don't get off the truck, and just continue on. The To-Do List will still show you how many prisoners will get sent the next day, and they'll keep trying. But without that delivery area, they just keep going.
That should allow you to stabilize your current bunch of prisoners without gathering new problems. Once you're ready for new prisoners, just put the delivery area back!
Fun note: your guards will still attempt to escort your "new" prisoners to the holding cell, even when they're on the truck. I had a couple guards chasing the truck until it left the area, so hopefully riots and whatnot are not brewing prior to getting your delivery.
In Alpha 2, as noted by @Crowbeak, any new prisons you create have an option to only send prisoners when you have room for them. For anyone using a save game from Alpha 1, though, this trick still works.
Another thing to note, though, is that your holding cell now counts for how many prisoners you can hold. I believe for every six squares your holding cell has, your prisoner space is increased by one, in addition to whatever cells you have created. So if you have the new option set, keep that in mind.
You need functional (working toilet and bed) cells. If you did not opt for the steady flow of prisoners, you will only receive new prisoners when you have empty cells. Also, make sure that your cell areas say "CELL", not "SOLITARY" or "HOLDING CELL"
Best Answer
You have to hire guards. The guards will automatically pick up the prisoners and escort them to the holding cell. Before that, the prisoners will not take any commands from you regarding cell assignments. Once the guard has escorted the prisoner into the prison, then you can assign cells by selecting the prisoner and right clicking (although they will automatically use the cells without you having to micromanage this step).