It is a shame that you hadn't mentioned that -- was this bearing from the headset, BB, or a hub? Also, what kind of headset, BB, and hubs do you have?

Among other things, you'll need to clean the bearing cups/races since you may have introduced contaminants. But don't give up. The first time you do all this stuff, it's a little intimidating, but it's not that bad once you've been through it.

One thing I forgot to mention is that you often need a bunch of special tools to pull or repack bearings. If you try doing this with ordinary tools like screwdrivers and hammers, it might not work out well. The Park Tool website is really handy since they not only sell the tools, but there are a number of tutorials on how to use them. Also, as has already been mentioned in this thread, the bicycle mechanics subforum is a useful resource. In addition to these resources, there are numerous books on road bike repair that address these issues.

I know it sounds like a lot of money to buy all this stuff, but don't be discouraged. You really do need all these things and they'll come out handy many times in the future so you should think of this just as a startup cost.

Also, listen to dparsons. He really offers good advice.