Because bathing tends to dry out the skin and coat, avoid bathing too frequently. I would suggest once a month as a maximum, but unless your ferret has gotten into something that needs to be washed off, a bath every 2-3 months is probably plenty.
You will need a gentle shampoo for your ferret. Your best bet is a shampoo made specifically for ferrets; there are several brands available. If you can't find a ferret shampoo, use one formulated for kittens or even a tearless baby shampoo.
The Bath Itself
Some ferrets take quite naturally to water while others are very reluctant to take a bath. The first few experiences with bath time will set the tone of baths in the future, so if your ferret is afraid of water, go slow and be patient. If your ferret is fearful of the water, try to keep it as stress-free as possible. If you get stressed your ferret will pick up on this -- keep your tone upbeat, offer some favorite treats, and maybe get some fun water proof toys. Making bath time more like a special playtime might help make it go more smoothly.
You can bathe your ferret in a bathtub or kitchen sink or any other convenient location. Fill the tub or sink with just enough water that the ferret will be mostly submerged but still able to touch the bottom. Be careful to support your ferret well, and you may want to use a rubber mat or towel on the bottom to give your ferret firm footing. Use water that feels slightly warm to your touch, but not too hot. Lather up the body well, but make sure not to get shampoo in the eyes or ears (if you accidentally do, rinse well with fresh water). Rinse all of the shampoo out, since any left in the coat could be drying or irritating. It is a good idea to refill the tub with fresh water, maybe even a couple of times, to make sure the rinse is as complete as possible.
Towel drying is usually sufficient and ferrets usually dry out pretty quickly, but it is important to make sure they do not become chilled when still damp. Unless their cage is freshly cleaned, that is not the best place to put them while still damp as a romp through a dirty cage and/or litter box will undo the work of the bath. Some owners put some clean towels in the tub and let their ferrets dry themselves off by burrowing in the towels. Some ferrets are okay with a blow dryer, but if you choose to try this keep the dryer on a low setting and keep it at least a foot from the ferret.
If your ferret has fleas, consult your veterinarian before using a flea shampoo. Your vet will recommend the best program of treatment for fleas for your household, including a ferret-safe flea shampoo if indicated.