You can get the supplies at any crafts store, or online. You can make your own if you're ambitious: by boiling old wool sweaters for instance.

You need a needle; felting needles have handy bends at the top. You need wool fibers. You need a brush or foam to put underneath as you work, and you need something felt to decorate. Colorful felt sheets are easy but you can felt on objects. I've felted a hat and a pillow.