In the Yellow Pages, they are usually under Fraternal Organizations. You want to get in contact with either the Master or Secretary of a lodge near you. They have books listing all the lodges, or they may put you in touch with Grand Lodge, where the Grand Secretary' s office can give you further information. What you need to find out is who has the records and archives of the lodge you are interested in. In the case of still-extant lodges, they are kept at the lodge itself.
Lodges sometimes go defunct, or merge with other local lodges.
In the first case, the records are probably at the Grand Lodge. In the second, the lodge into which the merge occured should have them. Once you have located the records, the fun begins. You will probably NOT be allowed to paw through them unsupervised - so you should try to develop a good relationship with the archivist. Don't expect computerized records, nor expect all the records to be terribly well organized.