There are two types of methods of attaching hair extensions - the individual strand method which requires bonding the hair extensions to small sections of your own hair. Using glue is one way to bond them. The other method is wefting. The following is a very informative website :

http://www.hairboutique.com/tips/tip034.htm

The problem with gluing is it has to be done properly - it takes some skill, can clump and there is also the difficulty of removing it without damaging your hair. Wefting on the other hand does not use glue. Applying hair extensions is best done by professionals for best results - ask around for salon recommendations. Some product manufacturers require that the applications be done only by licensed beauticians. See the disclaimer on this website (small print at the bottom) which also shows you pictures of the gluing process.

http://www.hairpiece.com/showpages.asp?pid=1040

Also consider the type of hair you choose -human hair is better. There is some maintenance required for hair extensions. There are other alternatives to gluing that you may wish to investigate.

Here is an extensive review on hair extensions by a consumer:

http://www.fashion-era.com/image_planning/clip_in_hair_extensions_photos.htm

FAQs on hair extensions:

http://www.glamourhair.com/extensions/exten_faq.asp