There are a few different ways to put frets into a guitar neck. Most of them involve applying pressure to the top of the fret. You can hammer them in with a small hammer, but you might expect better results with the even pressure from a fret press. The link below shows an example of a home made fret press.
While you are there have a look around the rest of the site, the guy is a very talented guitar maker, although he is currently working as a locksmith.
If you don't want to make a DIY press StewMac.com sell a fret press system.
Fender used an unusual method for quite a while, pulling the frets through sideways using a special machine. Because of this, when refretting it is often easier to pull the frets out sideways on these Fenders than in the conventional upwards direction. Read Dan Erlewine's Guitar Player Repair Guide book for more details!
