If you play sports where an ankle sprain is likely (soccer, track, football, basketball, etc...) you should always have a first aid kit nearby. Such a kit should include compression wraps, ice packs, splints, bandages, and ibuprofen.
For a severe sprain (one you can not put weight one) you may need a visit to a physician to make sure you don't have a fracture or serious ligament or tendon damage. In general, you should avoid weight bearing as long as your have swelling. When possible, you should keep your foot elevated. Within a couple of days, your pain should decrease enough to allow some weight bearing without pain. As you are able to tolerate more weight, you can begin a walking and gentle stretching program to increase your flexibility.
Proprioception exercises or balance exercise can help you recover more quickly and should actually be preformed as part of a prevention program. Jumpsoles Proprioceptors are great for this, as are wobble boards and other imbalance exercises. Poor balance is a good predictor of future ankle sprains. After an ankle injury balance training is essential to recovery. In addition to our eyes and inner ears, there are special receptors in our joints (proprioceptors) that provide information about our position in space. By balancing on one leg you can reinforce and strengthen those receptors in the ankle. Balance on the affected leg and hold steady for 15 seconds. Continue to challenge your ankle by balancing with your eyes closed, or with your head turning from side to side. If you play soccer, balance on your sprained ankle and kick a soccer ball against a wall. If you play basketball, balance and shoot or practice bounce passes. Get creative with your exercise to match your sport.
Ankle sprains can be prevented by using appropriate equipment for your sport. However, sport-specific shoes and protective gear are just the start. To avoid ankle sprains, you need to strengthen your ankle joints with various tools. Resources are provided below.
Info from http://sportsmedicine.about.com