There are two primary methods used to color cement.
One is a dry pigment that is swept across the surface of freshly finished concrete, and the other is uses powder or liquid pigments that are mixed into the wet concrete before it is poured. The first method is quite easy to do, but has the disadvantage of being easily chipped.
For small projects, the mixed method is probably the best solution, while surface coloring is great for large areas. For really large jobs, you can get pigment added to the batch as it is dispatched from the concrete yard.