It's actually pretty brilliant, because the resulting coffee is much less acidic that normally brewed coffee. All you need is a glass jar and a fine mesh strainer or cheesecloth. A french press pot is perfect for this. You measure out your coffee, and dump it in the jar, stir in the water until it is a sludgy mess and let sit anywhere from about 6 hours to 24 hours. Then you strain out the grounds and pour into cups or pitchers.

http://peaceableimperatrix.wordpress.com/2008/04/07/how-to-cold-brew-coffee/

That entry was the most useful one to me while reading up on the process. Though I find her ratio to be too weak for my hyper-caffeinated tastes. I use 1 cup ground coffee to 3 cups cold water, and make mine in a giant iced tea jar.