If you are using the Photoresist, available from Jameco Electronics, follow the instructions that come with it. Basically the artwork is done as a negative image, with the clear areas being the parts you want to remain after etching. The artwork (on transparency film, at actual finished size) is placed tightly onto the material to be etched. It is then placed into a dark room and exposed to very bright light for the amount of time specified in the instructions for the specific product you are using. After exposure, the part is "developed" with a chemical known, obviously, as developer. This will turn the exposed areas in an etch resistant coating.

UPDATE: another source for etching products! Check out the online catalog from Electronix Express. Their PCB Development section contains all of the products you need (except the metal) to etch parts following the information contained here.

Direct Transfer:

The direct transfer is exactly that, directly transferring your artwork from transparency film to the material to be etched. This, in turn, makes the toner act as the etchant resistant coating. After printing you art on a LASER printer or copying on a quality laser copier (inkjets will NOT work!!!) onto transparency film (preferably Kapton film), the film is placed with the toner against the surface to be etched. Then, using a household iron, apply heat to the film, thereby transferring the toner to the metal and creating an etchant resistant coating. The specifics of how much heat and how long to apply it are a matter of trial-and-error. An alternative is the Press-n-Peel system (Try Electronix Express).