This is a typical issue among reed players, such as clarinets and saxophones. There are two main resolutions to prevent squeaking:

1. Make sure that the ligature on your mouthpiece is not TOO tight! You should turn the pegs on the ligature just enough to start feeling some resistance.

2. Make sure your embouchure is set correctly: bottom lip slightly rolled over your bottom teeth, reed lays flat on your lip, top teeth on the top of the mouthpiece, and the rest of your mouth remains firm around the mouthpiece so air doesn't escape.

The first thing to do is to make sure that there aren't any objects in your instrument that shouldn't be there!

Valved brass instruments like trumpets, baritones, or tubas may feel "stuffy" or it may seem like air is not getting through the instrument. This typically happens after oiling the valves and not placing a valve back in its casing correctly. Once they have been oiled, you should turn the entire valve until you feel it "click" into place (or until it no longer turns.)

Not to worry; there is (most likely) nothing broken or wrong! This just means you need to empty your instrument of all condensation produced from playing. You should swab or empty your instrument every day!

Woodwind instruments have cleaning swabs they can put through their instruments, but be sure not to force it - it could get stuck! 

Brass instruments can easily empty their instruments by using their water keys (small spring-like piece at the end of a slide.) More complex instruments, like the horn, can remove their slides to empty out any condensation if they do not have a water key attachment.