The first thing you need to do is to select your frame. Readymade frames are available in some standard sizes; I have bought them from the craft superstore Hobbycraft in the past. But it seems that many apparently standard sizes of canvas aren't catered for in this way; the next option I explored was ordering online. This takes a little longer and is a little more expensive (a 30 x 40 cm frame cost me £30), but it's still significantly cheaper than getting the whole job done commercially.
The actual choice of frame can be tricky. Because you're not using a mount - i.e. the painting butts right up to the frame - it's usually a good idea to go for a wider frame. The frame is supposed to complement the painting, so a lot of people like to echo a colour from the painting in the frame. A gallery owner suggested to me that Cannon Heath Down 6 (shown below) required a broad, whitewashed wooden frame (picking out the clouds, I think).
Once you've chosen your frame, you need a way of making the canvas stay in it. Obviously, it's nice if you can remove it again - say you've made a poor choice of frame or the painting needs varnishing (both will apply to Cannon Heath Down 6).
There are a number of ways of doing this; one of the best solutions is to use spring clips:
Cannon Heath Down 1 (shown right). I gave that painting - a gift - a broader frame, made of oak (warning: oak is very hard and you definitely need to predrill your holes).