here's a link with some info...
http://www.anapsid.org/co2.html
I've read it can also be done with dry ice. Place dry ice in a large bucket or garbage can. Have your mice/rats in a container, such as a critter keeper, something they can be in that is preferably dark and quite, with a solid bottom so when placed into the co2 chamber they have no direct contact with the dry ice. Once the CO2 has been allowed to build up (not sure how long, probably 5 minutes?) place the container with your feeders down into the bucket/pail/can. Make sure you do NOT put your head in or over the co2 chamber, you can pass out. If any of this info is wrong, please someone tell me! I've never tried the CO2, I used to just whack em, now I just buy frozen.
more info from repvet
http://www.repvet.co.za/food_ratsmice_euthanasia.htm
they describe using dry ice as well. (*However, they also mention the freezer as a meathod to kill feeders and I DO NOT think that it is humane, it is rather a cruel and slow death IMO)