Is there a certain paint I should use to paint my pine bed?

Find some bulls-eye primer, it will be your best friend. Lightly rough up the wood surface, add the primer and let dry for at least 24 hours. Paint over it and voila, pretty bed with less labour!

Most pine furniture has a factory applied sprayed on clear lacquer or a polyurethane based varnish. It's important to give the new paint a key and sand as much of the existing finish off first before painting.

Hoover up the dust and use a rag moistened in white spirit to clean up prior to painting. Use a solvent based primer and a solvent based self undercoating top coat. Satin paint gives a more forgiving finish as it wont show up defects or brush strokes but isn't as har wearing as a gloss paint.

Acrylic or water based paints are low odour but tend to not be as hard wearing as solvent based paints, acrylics also tend to yellow over time too.

Is the wood treated for something like outdoor exposure? If so you may need a chemical to remove/reduce the carcinogens in the wood.

If you bought the frame at a "unfinished" furniture store then it's ready to be painted. Usually you need a good primer (if you're using paint) to give you a base-coat THEN you add at least 2 coats of the color you like. But if you are painting give it the time allotted to dry + a few extra hours. After that I would suggest you also find something to coat the surface so that it holds its' color.

If you're going to stain it think carefully as you will need to make sure the other furniture matches it. Sometimes the type of wood will color a particular way (soft woods won't keep as much or a dark color but hard woods/oak/ect. will darken greatly) because you may need to stain ALL that furniture the same way.

If you bought the furniture you probably don't need to sand it; if you're building it touch the wood where you're likely to make contact (headboard/side frame, ect) and if you need it use a rough then a fine paper. You're getting rid of the rough then smoothing out the wood as much as possible.

Do ANY sanding and base-coats/treating before you apply paint or stain. Also, do your research: ask a lot of questions, go to different stores (not just hardware stores) but specialty paint stores and furniture stores for as much advice as possible.

Good luck.

Former lumber yard employee so this was my area: paints & stains.