-Build a frame out of 10" or 12" sections of 2x6s that is as close as possible to the shape you need it to be. This would be the structural part of the steps.
-Buy a piece of 1x6 to go in front of the 2x6 frame as the decorative part.
-Curve the 1x6 by cutting parallel slits into the back of it - about every 1/4". (Using a circular saw, cut across the board about 1/2" deep.)
-Leave the board out under a sprinkler for awhile.
-Bend the board over the 2x6 frame, nail it every 4" to the 2x6s. (Use clamps.)
Hope that makes sense. Ask at a lumberyard - they can demonstrate better than I can describe it.