The prediction of the three-dimensional native structure of proteins from the knowledge of their amino acid sequence, known as the protein folding problem, is one of the most important yet unsolved issues of modern science. Since the conformational behaviour of flexible molecules is nothing more than a complex physical problem, increasingly more physicists are moving into the study of protein systems, bringing with them powerful mathematical and computational tools, as well as the sharp intuition and deep images inherent to the physics discipline. This work attempts to facilitate the first steps of such a transition. In order to achieve this goal, we provide an exhaustive account of the reasons of enormous relevance underlying the protein folding problem and summarize the present-day status of the methods aimed at solving it. We also provide an introduction to the particular structure of these biological heteropolymers, and we physically define the problem stating the assumptions behind this (commonly implicit) definition. Finally, we review the 'special flavour' of statistical mechanics that is typically used to study the astronomically large phase spaces of macromolecules. Throughout the whole work, much material that is found scattered in the literature has been put together here to improve comprehension and to serve as a handy reference.