A Collectors Edition Figure is generally only released through the McFarlane's Collectors Club.
This figures are generally Exclusives with a limited production and aren't generally available through other outlets.
Some dealers order in bulk from McFarlane's Collectors Club and then re-sell them on at an inflated price or online auctions.
I'm not too sure as to whether I'm in agreement or not with this practice as when I had my stores and online collectibles store I used to sell these figures also.
But this does inflate their prices as the dealer will add on his profit margin. Also some dealers will buy large quantities to keep some in back . This often creates a situation whereby the figures sell-out very quickly after their release and sometimes before they are released.
My advise to you is to order, or pre-order them direct. This way you are sure to get your figure and at a reasonable price.
Joining is simple just go to the online and make a purchase. You don't need to be a Club member to purchase your first exclusive, but you will be asked to create a Login name and password during the checkout process.
That's all there is to it. You're automatically enrolled in the Club during the checkout process and all your information will be stored for future visits.