Both of the above pics that Paul listed will only press the plates on the link. The "riveting" portion is done by the hardened tip of a riveting tool that mushrooms out the hollow portion of the pins so that the plate won't pop off. It is really not difficult to do, but I would stay away from cheap tools.
I didn't even use a rivet or pressing tool, but a hammer, anvil, and a piece of tool steel I had laying around. And mine came out fine.
I don't know anybody who has a screw on type master link but I read about them and they seem to be alright.
Jason