Since the Federal (DOT) requirements for a CDL and each of the endorsements have been fairly standard for all of the states for the last decade or two, the process in MS could be similar to the process here in AZ. If you already have your CDL you could need to go to a MS DMV office; pay $10 and fill out whatever paperwork they ask you to; take a 50 question computer generated test; if you pass, the DMV will give you a list of places to get your finger prints taken (most do it digitally now) and that office will forward your prints and HazMat endorsement request to the FBI and TSA; pay the finger print facility a $95 fee and wait approx 3-4 weeks to hear by mail from the TSA whether you passed their background check; if passed then take your approval letter back to your DMV office and they will then make note of the additional endorsement on your CDL and probably issue you a new License reflecting that, while your there.
This was my experience in AZ and while the process may vary somewhat from state to state, I suspect the procedures are more similar than not.
You may also be able to get a HazMat specific booklet from your DMV that will prepare you for the written (computer) test. There are also places on the web where you can take practice HM tests: http://www.cristcdl.com/otc/, and http://www.truckingtruth.com/cdl-test/cdl-test-hazmat-endorsement.html. Also, there is a Haz Mat section in each states CDL Manual. In AZ and UT that is found in section 9. Check your states CDL Manual and you'll probably sufficient information there to pass your state's test.