Pathfinder abstracts much of what we imagine combat involves
While it may seem to the player that when it's not his character's turn that his PC's doing nothing, that's an abstraction that Pathfinder makes for the sake of simultaneity. A round is 6 seconds, and during those six seconds typically everyone involved in the encounter gets a turn. When it's not his character's turn, a Pathfinder player should not be imagining his character standing there and waiting to get hit but, instead, imagining his character doing his best not to get hit while still fighting to the best of his ability! In other words, what we in the real world consider dodging an attack, the typical Pathfinder creature is, during combat, doing all the time.
(Limited awareness by a combatant is generally represented by the creature being caught flat-footed (like when the typical creature at the beginning of combat after initiative is rolled but before the creature's taken a turn) or being denied its Dexterity bonus to Armor Class (whether or not it has a Dexterity bonus to Armor Class) (like when the creature has been the victim of a successful feint attempt). Similarly, a creature that's forced to divide its awareness between attackers on opposite sides is flanked, making the creature an easier target for those foes that flank it. Things like that. The crux here is that, generally, a combatant is already paying attention and trying to get out of the way of attacks while in combat!)
This means when it's not the player's character's turn, the player can feel removed from the action, unable to influence ongoing events. While this is largely true defensively—there's often little the character can do (especially at low levels) when the character is being attacked—, creatures can provoke from their foes attacks of opportunity that provide a player a reason to pay attention when it's not that player's character's turn. For example, an enemy that drinks a potion of cure light wounds while adjacent to a foe armed with an appropriate melee weapon typically provokes two attacks of opportunity from that foe, one for retrieving the potion and another for drinking it! (Note that most creatures can only make one attack of opportunity per round; making more requires something special like the feat Combat Reflexes.)
Further, when it is that player's turn, that player's character (and almost any creature, really) can take a standard action to fight defensively so as to suffer a penalty on attack rolls and gain a dodge bonus to Armor Class until right before his next turn begins… or even take the standard action total defense to, essentially, exchange his character's attacks for an even greater increase in his character's Armor Class for the same amount of time. (Long-time players will likely say such options usually aren't worth it—and this long-time player tends to agree—, but experimenting with a new game system is one its joys, and maybe you'll find your own results differ.)
In short, while there are a multitude of exceptions to this that I'm certain you and your players will soon discover, typically the player makes decisions for his character only on the character's turn. The idea of dodging when it's not that character's turn is already factored into the character's Armor Class and the game engine itself.
Note: GreySage's excellent answer covers a few feats that may mollify a player who's concerned that his character seems to be just standing there between his character's turns. While the feat Dodge is largely considered by long-time players a bad deal, it may make a newer player feel better to have it written on his character sheet.