It's done pick by pick over 46 rounds with a period of free agency following the draft to fill out your roster.
Probably best (if you've not done this before in similar games), to spend a few weeks getting familiar with the game before jumping in feet first to opening a league and trying to fill it.
There are several 'League owners/admins' that will be happy to give advice on the pros and cons and of player expectations.
I run three Leagues currently and would say I jumped in too soon initially in opening my first League.