Fretwire comes in all different shapes, sizes, and materials. You can get jumbo frets or small frets, long tangs or short tangs, nickel or stainless, etc. There is a near endless combination of different kinds of fret wire that you can buy. Please see my "what fretwire should I buy guide" for more information about what fretwire is right for you.
Bending fretwire is simple as long as you have the right tools. Fretwire usually comes in 1 or 2 foot straight sections. You can also buy precut fretwire, but it is more expensive. The 2 foot straight sections will need to be bent to fit the radius of your fretboard with a fretwire bender. I would suggest buying a fretwire bender from StewMac or LMI. A fretwire bender consists of a piece of steel with three rollers mounted on it. One roller has a handle for turning the roller. When the fretwire is run through the bender, the fretwire takes is bent between the rollers. Fretwire benders are kind of expensive, but will save you time and money if you are doing many fret jobs. It will probably pay for itself in the first two fret jobs you do. You can also make a fretwire bender. There are plenty of websites with tutorials on how to make your own fretwire bender. I think the StewMac and LMI benders are good quality, a little pricy, but they are durable and will last.
Before you even think about bending any fretwire, you need to measure the radius of your fretboard. I have a list of manufactures' standard radius sizes on the setting string radius page. Some of these manufacturers have changed their fretboard radii over the years, but this is a fairly accurate list of guitars. To measure your fretboard radius, simply take the strings off of your guitar and place the radius gauge directly on the fretboard. Look to see if light is shining between the radius gauge and the fretboard. If there is light shining through, you have the wrong size radius. Turn the gauge and try a new size until you can't see light shining through.
After you know the radius of your fretboard, adjust the fretwire bender by loosening one of the smaller rollers and bring it closer to the larger roller. Keep in mind, the closer the small roller is to the larger roller, the tighter radius your fretwire will be bent into. I usually set the rollers pretty flat at first. It is better to not bend the fretwire enough the first time than to bend it too much. If you bend the fretwire too much, it is difficult to bend it back to a larger radius. With that being said, place the fretwire upside down in between the three rollers. The tang of the fret will fit in the notch of the large, upper roller. Crank the handle and watch your fretwire roll out in a perfect bend. Now take your radius gauge and measure the fretwire. You want your fretwire to be slightly more radiused than your fretboard, so it will dig into the fret slots when installed. Be careful; you don't want to over bend the fretwire. You will have problems installing over-bent fretwire because it will be difficult to seat in the slot properly.
Once your fretwire is bent, you are ready to cut into individual frets and start the installation process. Please see the fret installation page for more information.