Focus Stacking is a technique that enables you to merge several photos, each focusing on a different part of the subject. For this technique, I use Adobe Photoshop CS5 to do the merge, and here are the steps:
1. I think six shots are good enough for this example. Gradually moving the focus from the 1st till the 6th shot. Remember to use a tripod, and retain the lighting in the same position for all.
2. Load them into Photoshop
3. Select all layers to merge
4. Select Auto-Blend
5. Select the type of blending (stack of course)
Depending on your processing power, the stack will be merged and the final result is ...
I'm sure you'll be able to come up with better results with practice :)