How do you get transponder key and program myself?

You can purchase keys from Locksmiths, dealerships, and from the internet. I would recommend using a professional just to make sure you get the right key and not waste your money, plus they can cut your key correctly (which internet sources can't do).

And with the programming side, it depends on what car you have. Not all cars have on-board programming available, and from the ones that do you may need 2 already programmed keys to do so. A good place to go to for free programming instructions is http://www.programautokeys.com It doesn't have every car but its worth a look.