Check out the legal section. Find the gun you want and which complies with current US State Dept. rules and regulations, i.e., next to impossible to get approval for export of AR deemed of "non-sporting" use such as those marked 5.56mm NATO, having flash hider, barrel under 16", etc...
Find a US FFL dealer willing to handle the export & purchase for you. Get your paperwork in order for both US Customs/State Dept. & Canadian DFAIT.
Wait 8-10 weeks or however the bureaucrats take to process the application. (It varies).
With final approval, the US FFL dealer can then proceed with the export. You can then have the firearm registered upon entry into Canada (CBSA will notify you and hold for pick-up, you need to show up with the proper paperwork/registration before it will be released). In some cases pre-registration is possible. Don't depend on anything told to you by a faceless person over the phone, get everything in writing to cover your butt.
In the end, if you are patient and willing to jump through the hoops involved, it is doable. However, for most common firearms the cash you'll save simply isn't worth it, i.e., Glock 17, S&W M&P, etc...