Well the roms are (usually) downloaded from the internet. I am using MikG, which is a modified version of stock 2.3. You just wipe and flash (as in the Rooting for Dummies Guide). There are also files (such as VR-SuperWipe or Caulkin's Format All) that you can flash and they wipe everything for you.
Just make sure that you make a nandroid before (!!!) and backup anything you need (contacts, sms text messages, data for apps).
You can backup contacts to google, sms with SMS backup (app) and apps with Titanium Backup (app).
Just read through the Rooting for Dummies guide a couple of times, it's probably the most complete guide anywhere online (that I've found) for rooting your evo (and anything about rooting as well).