Hi: A bond ladder is used as follows: You allocate 10% of your funds to buying bonds maturing in 1 year, 10% in bonds maturing in 2 years....... the same going out to 10 years. So you have an average maturity of 5 years. This is usually a good strategy- when you are afraid of inflation and rising rates. However, in the current interest rate environment- no inflation-steep interest rate curve, you are giving up alot of income by laddering. The sweet spot for investing in bonds is intermediate maturities: 10-20years. Currently, US Treasuries under 5 years yield less than 1% and to generate any return you needto invest 10 years or longer. There is a Huge oppty costfor staying short term-and waiting for rates to rise.
A bond ladder or CD ladder or annuity ladder just refers to building a portfolio of that asset class where on a regular basis a portion of your bonds (or CDs or Annuities) is maturing and when you roll into the next maturing cycle hopefully (especially now when rates are so low) rates will be higher. It provides liquidity and an opportunity to take advantage of interest rates increasing later on. There are other ways to use a "ladder" also so consult a good local financial planner to see if it is right for you.
Great explanations by Barry and Don above. In regards to the second part of your question, if you are not working with an Advisor you can utilize an online discount broker (i.e. Schwab, Etrade, Fidelity) to set up a bond ladder. However, in this scenario you would be responsible for doing your own due diligence on each individual bond and constructing the ladder yourself. Given the intricacy of the bond market and the current interest rate environment, it might make sense to at least talk with a few Independent Advisors to help determine if a bond ladder is suitable for you.
Also be aware of credit risk if using individual bonds that are not treasuries or CDs. In the current rate environment (Oct '12) I am not a fan of either right now. There are some fixed date maturity exchange-traded-funds that would allow some diversification across investment-grade and high-yield credit while still using the ladder concept.