Actually you download data into a software package's editor, and from there into the scanner, but we're getting ahead of ourselves (anything in blue and/or underlined is a link);
First step - Get a paid subscriptiion
http://www.radioreference.com/apps/subscription/
Second step - the software. There are several packages that can connect to the database. While ARC396 from BuTel is pretty much the acknowledged champ (you can get that from Scanner Master), there are 2 freeware packages - FreeScan and BcTool - that can also do this. You can read up on those packages and more via links on this article
http://wiki.radioreference.com/index.php/BCD396T
Each of the freeware packages have their own forums (BcTool uses Yahoo groups, where it stores the latest version of their software; FreeScan has their own forum area on their website) and their authors watch them pretty regularly for questions and how-tos.
Another source of information would be anyone here who could supply you with a Uniden Advanced System Director (UASD) file - that can be imported via software. You might also find that someone has already built something on the New Hampshire Scanner Yahoo group (very active group), or on the popular Scan Cape Cod website...
or even here. 73 Mike