you buy set of projectors on e-bay or from junk yard. E-bay has tons for sale. I would reccomend LS430, FX35, TL, TSX or if you can find - S2000 nothing even comes close to these, but they expensive at $300-350 for a set. I paid $180 for mine.
Then you either work with your existing headlights or buy new (and sell old ones after you done) and start butcher them. Cut the holes in reflectors to fit projector, fasten it with some bolts, test it and put them back together. Its very easy and you dont need a lot of tools. All I used is a screwdriver, Dremel and may be one wrench, thats it. About 10 hours of work if I would do it again, 20 if you want to get it done right first time. Lots of testing involved and if you want to mod your projectors. I painted cut-off shield red for example. Some people make custom cut-off shield.
HIDplanet.net forum is a good start. Wealth of information, output pictures step by step write ups and great advice from others. I bought my projectors from theretrofitsource.com as well as wiring harness and bulbs. Wiring relay harness plugs in stock wiring and draws current directly from battery. Then get a discent quality HID kit (I would reccomend 50 or 55 watt they have insane output 30-40% improvement over OEM HID) for like $100 or so and you all set
06+ headlights have non HID projectors, they are halogen projectors and have poor light output compare to any of well known excellent performers like I listed above. Dont see point of getting them instead of a retro. There is no way you can achieve same results with OEM lights. It turns night into day, literally

Retrofitting is actually a lot of fun, in fact so much I want to do a new set already. Anybody wants to buy my Terminator eyes?

I was suppose to do a full step by step write up here on my TSX retro last weekend but had too much work, may be I'll do one this weekend. This would encourage you and others and make things easier. I have lots of pictures of entire process