Strangely enough, this isn't actually true! Ok, so it is true that if you were to go through one by one and label some real numbers with natural number, you would never run out. But the interesting thing comes when you start with the assumption that you have labelled every real number with a natural number. Turns out there's always some left over...
There is a famous proof about this by Georg Cantor: http://en.wikipedia.org/wiki/Cantors_diagonal_argument