It's like keeping any other type of journal except that you incorporate visual elements in addition to (or instead of) written text. You can use any media you enjoy in your visual journal, and it can be a fun way to finally utilize that cool sketchbook or notebook someone gave you as a gift but you haven't used yet. I like to use inexpensive materials like crayons, magazine paper, and a children's watercolor set.
There's a great resource/community for art journaling on Ning. This article in Psychology Today looks at visual journaling from a healing/therapeutic angle, and this article on creativepublic.com comes from a more business-focused approach, looking at the benefits visual journaling can bring to your work.
We spend so much of our time in front of screens that it can be good for our thinking to take even a few minutes a day to jot down a few words with a pencil, draw a doodle with a marker, or glue down a couple of scraps of paper.