Your bird should thoroughly enjoy bathing, so much so that she will probably enjoy a gentle shower while you are washing dishes, marching back and forth under a running faucet. She needs a bath at least once a week, to keep her clean and promote her self-grooming and feather preening. This usually does not require much effort from you; all she should need is the opportunity, and she'll take over from there.
Bathing also helps control your bird's natural production of dust and dander, particularly if she's a cockatiel, cockatoo or African gray parrot. You will not normally use any kind of shampoo or detergent to bathe your bird. In fact, shampoo will remove the natural oil she has carefully applied during preening, so it should only be used if your bird has come into contact with oily or greasy substances.
Your bird may like to splash around in a shallow dish or pan of water, or she may prefer to be showered or sprayed. A smaller bird will also enjoy fluttering and nestling down in wet grass or greens, such as several lettuce leaves. Experiment with your bird to find out which she prefers.
If your bird appears reluctant to bathe, try misting her gently with warm water and a spray bottle. Always use warm (not hot!) water, and remember that when your bird is wet her body temperature will drop, which you should minimize as much as possible. It's best to bathe her in the morning so she has all day to dry out before evening brings falling temperatures. You can also try using a hair dryer, as long as you use a low setting and make sure she does not get overheated or burned. This will require a bit of experimentation; some birds are frightened by the noise of a hair dryer, while others seem to enjoy the sound.