To burn a bootloader, you need something like an USBtinyISP. We also have pre-flashed Atmega328 chips in the store: http://www.adafruit.com/products/123
Note: The bootloader on that chip is the "Adaboot" loader which is Duemilanove compatible. So, for the purposes of uploading, you will need to select "Duemilanove w/328" as your board type. Otherwise, it will be indistinguishable from a normal Uno.