Generally, brake pads rub mean one of the two things:
- Caliper is not set up properly. Misaligned with the brake disc plane, not centered on the disc, brake pads worn out asymmetrically, etc.
- Too much hydraulic pressure in the system. It's either too much fluid in the system or brake lever idle travel set up too low (on brakes which do have this).
These issues may be addressed by following the steps (respectively for each issue).
a. Loosen the caliper bolts as Glenn suggested.
b. You may move the caliper with your hand slightly to ensure it is free on the bolts and to break it if it jammed (metall diffusion, dirt and such).
c. Rotate the wheel. This will help the caliper to settle in centered or may show if your brake disc is warped.
d. Gently apply the brake so the wheel stops in 1-2 revolutions.
e. Clamp the brake lever to secure the caliper in its position and tighten the bolts. Do not release the brake while tightening the bolts! If you do so, caliper may become again misaligned due to gravity or inner tensions.
a. Consult with the manual to find out where bleed port on the brake lever is located.
b. Get your Torx (at least for SRAM brakes, not sure if applicable to Shimano) key ready as well as some rag.
c. Slowly unscrew the bleed port. You may see a drop of brake fluid running away. This may indicate that your brake system had the above atmospheric pressure which prevented the brake pistons to retract properly.
d. Do not open the bleed port fully! Do not touch the brake lever! Doing so will break your brakes and you will have re-bleed them.
As a side note, it is recommended to perform a "break-in" procedure if you happen to change the brake pads, rotor or after cleaning mentioned parts. This is required to set the pads correctly in the caliper and spread a thin layer of material on the disc -- this increases the brake ratio significantly.
To perform a procedure, just speed up on your bike to a moderate velocity and then perform a nice hard braking to a near-halt speed. Repeat 10-20 times to warm the brakes properly. It's a cool warm-up for the rider as well :)