A pond can perk up even a small yard. The first step is to decide how large of a pond you want. A trip to the local water-garden store may be in order. There you'll find flexible liners, preformed pond shells, and numerous accessories. Some manufacturers sell pond kits, but these tend to be small in size.
Liners can be fun because they let you design your pond as you see fit. Liners come in sizes ranging from 5x5 feet to 30x50 feet. Custom sizes are also available. The pond bed will have to be covered with an under-layment material in order to protect the liner.
If you wish to forgo that hassle, preformed pond shells are relatively easy to install.
Pond shells come in a variety of shapes, sizes, and depths. They tend to be more expensive than liners, but they are also made of a more rigid material which makes them more durable.
If you are planning to add fish or plants to your pond, you may need to add a filter to keep the water clean. Someone at the water-garden store will be able to tell you what's suitable for your size pond.