Paul asked the disciples of John the Baptist this in Acts 19:2
He was told that they had not heard anything about the Holy Ghost. So Paul explained some things and then baptized them for a second time (only this time, in the name of Jesus). Afterward, when he laid his hands on them, they received the Holy Ghost!
Many professing Christians have never heard this because most ministers do not believe this Bible experience is for people today. However, regardless of the theology or doctrines that most ministers have been instructed to teach, the question above should be asked of every professing Christian today. Those who are truly independent thinking Bible students will search it out for themselves in the scriptures, and will find out what the Bible has to say about this matter.
Jesus told Nicodemus in John 3:5, "... Except a man be born of water and of the Spirit, he cannot enter into the kingdom of God. Romans 8:9 tells us, "...Now if any man have not the Spirit of Christ, he is none of his."
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How does one know when they receive the Holy Ghost?
Some ministers teach that the Holy Spirit is received "automatically" ... with no apparent outward manifestation ... when a person "believes" and accepts Christ as their personal Savior. However, in Acts 8:12-17, we read about people who believed, yet they had NOT received the Holy Spirit.
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Acts Chapter 8
12 But when they believed Philip preaching the things concerning the kingdom of God, and the name of Jesus Christ, they were baptized, both men and women.
13 Then Simon himself believed also: and when he was baptized, he continued with Philip, and wondered, beholding the miracles and signs which were done.
14 Now when the apostles which were at Jerusalem heard that Samaria had received the word of God, they sent unto them Peter and John:
15 Who, when they were come down, prayed for them, that they might receive the Holy Ghost:
16 (For as yet he was fallen upon none of them: only they were baptized in the name of the Lord Jesus.)
17 Then laid they their hands on them, and they received the Holy Ghost.
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And again, some teach that the Holy Spirit is received "automatically" ... with no apparent outward manifestation ... at the same time a person is baptized in water. However, in Acts 8:12-17 (as shown above), & Acts 19:1-6 we read about those who received the Holy Spirit AFTER being baptized... but in Acts 10:44-48 we read about others who received the Holy Spirit BEFORE being baptized.
NOTE:
(I did a google lookup for the Scripture "Since you believed" then cut-n-pasted from http://www.impact-ministry.com/acts2/believed.html) because I thought it answered your question very well.