First, it is important to note that the term "historiography" refers to the actual process of writing about history. In a historiographical paper, the student is not supposed to simply examine what happened during a specific period in time, but must rather discuss how historians have interpreted specific events, people or trends of the past and must then explore the major debates and arguments that arose among professional historians.
A regular history of the Holocaust, for example, could explore the nature of German anti-Semitism and concentration camps in Europe, but a historiographical approach would have to take a look at how other historians explored this topic in their books and articles, and highlight major differences of opinion, or specific schools of thought.
When writing a historiographical essay, one's research is based largely on secondary sources--that is to say, the works of other historians. It is best to consult bibliographies at the back of major books and articles on the topic in order to get a better idea of the literature and to ensure that one is not missing a major scholarly work from the analysis.
It is also very important not to simply list historians and what they have written about a given topic, but to compare and contrast the arguments of all major scholars in the field and then place them in specific categories, according to their approach and historical conclusions.