Depends how pretty you want it. In the past, I have done a flat black spray paint over the light sanded old finish which turned out pretty decent, and easy to touch up. Keeps the frame from rusting and has a nice utilitarian look to it.

To do it "properly", however isn't cheap. LOTS of prep, and expensive paint. You may need good spraying equipment. I think there are some good paints available in spray cans, but they're usually had from specialty stores for $$$. I found that in the end, a paint job by a professional is probably worth the money. Once in a while you could find a powder coat place that'll bead blast a frame and powder coat it one color for less than $150. And it'll look pretty good, too.