Oooh, well there as many ways as there are reefkeepers, almost.
But, to be a little bit more helpful (

), there are a few options. One is to go for the ready-made nano. There are various options out there, including the JBJ cube, the Red Sea Max etc.
Another is to go for a custom nano, as made by people like Nano Tuners.
http://www.nanotuners.com/Another is to put the components together yourself. The advantage is that you can do so for rather less money than a ready-made version and the limit is only your own creativity!
Here's a thread I have logged in my favorites from a British board, in case I ever decide to set one up myself.
http://www.ultimatereef.net/forums/showthread.php?p=2048216#post2048216Remember, this is only one way to do it and apologies in advance if some of the materials he uses are UK specific...