To write a bootloader, you need programmer hardware.
But normally you don't have to write a bootloader.
An Arduino Leonardo comes with the bootloader already programmed into it.
Why do you want to write the bootloader again ?
If you don't know why, don't try to !
If you write a sketch (the program you write) you can upload it via the usb bus.
Did you upload a sketch to the Leonardo yet ?
Start with the examples in the Arduino IDE, for example the Basics/Blink.
To install the Leonardo properly, carefully follow this : http://arduino.cc/en/Guide/ArduinoLeonardo