How do we choose covariance matrix for multivariate normal?

Hi there,

I have a question about Bayesian inference and a little bit related to
Markov chain Monte Carlo. Suppose that I have observed data D and I
want to have a model describing that data. I may test it by using
model f(x, theta) where theta = (a, b, c) (a vector with some
elements). We assume that (a, b, c) is multivariate normal so making
inference about them requires covariance matrix C, which is used in
MCMC method. The problem is that I do not know how C is built or
chosen, given the observed data D.

Please give me some instructions on this matter or refer me to any
related documents. Thank you very much in advance.

Iaoh.
.