I recently read an article on something like this. It's best to focus on how you conversate with your child and what you emphasize as important. Instead of complimenting their hair or clothing (although self-esteem can stem from these types of praises), compliment their previous accomplishments such as the 'A' they made on their test last week, or the quick way they figured out the solution to a problem. Compliment their cooking, or their art work. Encourage hobbies and ask questions that showcase their strong points, even if you already know the answer. For instance, if your child is interested in dinosaurs, do a little research. Help them expand on that knowledge. If they're interested in knitting, request that they make you a scarf, and offer to take them out and get supplies. Play into their talents, show them what you value from them.
They'll never be able to fully ignore the media, but that is not the point. The point is to help them understand that their value is more in the mind and spirit than in the body. This is not something you can just tell them and move on. It's an everyday way of portraying yourself as an example that makes the biggest impact. If they say something intelligent to you, help them expound upon it. Show pride in their curiosity. Try to answer their questions as honestly and fully as you feel comfortable with, and show interest in their intellectual value. Use as many references to intellect as possible and phrase questions to them in ways that facilitate intelligent discussions. Don't make them feel stupid. When you're watching a movie together, comment and focus on the more academic aspects. For instance, questions about the formation and filming of the movie or comments on the spectacular wordage will go farther towards this goal than commenting on acting abilities and clothing.
As far as avoiding media pressure when out shopping for clothing, just let it go. Every kid wants to be cool. Kids are trying to find their individuality, you just have to help them understand that it's okay to portray yourself in a healthy and stunning way but it's more important to portray your intelligence than anything else. A girl can be the prettiest person in the world, but when she opens her mouth she can ruin it all if she doesn't have the smarts and confidence to back it up.