There are several packages for sub-figures, namely: subcaption and subfig. With such packages you can create a single figure, and inside the figure environment you can have sub figures (see the documentation of the single package for the syntax) each with its own caption.
Here is a possible way to arrange your figures (I have use \rule to exemplify the structure, please replace it with the appropriate code for including your graphics)
\documentclass{article}
\usepackage{subcaption}
\begin{document}
\begin{figure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{First}\label{sf:first}
\end{subfigure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{Second}\label{sf:second}
\end{subfigure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{Third}\label{sf:third}
\end{subfigure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{Fourth}\label{sf:fourth}
\end{subfigure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{Fifth}\label{sf:fifth}
\end{subfigure}
\begin{subfigure}{.49\linewidth}
\centering
\rule{3cm}{2cm}
\caption{Sixt}\label{sf:sixt}
\end{subfigure}
\caption{Global Caption}\label{fig:all}
\end{figure}
\end{document}
Producing:

subfigureis obsolete now and should be avoided. It has been superseded bysubfig. See this question : http://tex.stackexchange.com/questions/13625/subcaption-vs-subfig-best-package-for-referencing-a-subfigure – percusse Jan 06 '13 at 16:25