You can have a look at the source for the RADEONCombine3SpecMap sample for code to generate and use a normalizing cube map. Look for the function generateCubemap(). You should only need one of these in your application, though you may reference it multiple times in a given fragment shader.
You can also find it in one of the NVIDIA glh headers. I think it is in glh_cubemap.h. Thats the one i use, but what i did was copy and paste just the normalcubemap part in my own code and modified it for me. The main thing i had to do was make my own function to convert a normal vector from [-1,1] to an RGB value of [0,255]. For some reason i couldnt find that function in that glh header so thats why i made my own.
Also, check http://www.nutty.org . He has a per pixel lighting demo (for geforce cards) that uses one of these cubemaps. Its a great demo to get started on this kind of thing.