a bridge rectifier is actually four diodes aranged in a fashion that it will convert the ac current into a pulsating DC current. Since we don't want pulsating DC two capacitors will be used to smooth out the pulses.
Search on the internet for a schematic, it's a fairly common circuit, but BE CAREFUL you can easily fry something if your not careful. Be sure to check the volatages that the transformer is rated for and make sure your capacitors are rated for at least four times the voltage that your output will be.
good luck,
Cryo
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