They have an extensive website with all the forms and information you need to know. Just search for Canadian Immigration in Google.
How you do it depends on why you want to go to Canada. I'm coming in as part of the "Family Class" (married a Canadian lass), so this is what I have to do:
I. Marry the Canadian.
A. Marriage documentation
B. Have to find a good Canadian

(I did!)
II. Permanent Residence (a.k.a. "landed immigrant") application
A. Medical Check by designated practitioner (good for one year)
1. $100CDN in Calgary, more in US
B. Background check from every state lived in for the past 10 years, plus
FBI check.
1. About $20 per state/feds.
2. FL and MA came back quick, FBI takes 2 months.
a. Have to have special fingerprint form for FBI check
C. Passport Photos
1. Must be to Canadian specs
2. Must be less than 6 months old
D. Fill out Paperwork
1. Paperwork goes into insane amount of detail about how we met,
whether we had an engagement party, who was at wedding,
how many of her relatives I've met and when did I meet them,
etc etc etc
2. Paperwork must be accompanied by check for $1500CDN
E. Wait for 6-12 months
1. Might have to have personal interview with immigration folks
After you receive Permanent Resident (or Landed Immigrant) status and live in Canada for 3 years, you can apply for Canadian citizenship. As far as I can tell, you don't have to give up your US citizenship, you can be dual. Then, when you go to the US, you show them your US passport, and when coming back across the border, you show them your Canadian passport.
That clear enough?!
(when I typed this, it was in Outline format, with spaces and everything. The software gets rid of those. Sorry. )