How do I wrap a sprained wrist?

Use an OTC splint. The easiest way to treat and protect a sprained wrist is to try an over-the-counter (otc) splint. They are easy to apply and remove for personal care. An ace wrap is another option, but needs to be applied appropriately to adequately protect your wrist. Otc splints can be a simple neoprene compressive sleeve are incorporate a hardened splint to hold the wrist in a safe position.
Depends on... ..What your needs are. If you have a severe sprain, rice plus an off the shelf velcro wrist splint is easiest and most effective. If mild, consider a neoprene or other fabric wrap, similar to what boxers use. For racquet sports, consider flexible athletic tape like kinesiotape or rock tape. If your pain persists, or you have swelling, numbness, see a doc asap. You may have a fracture. Happy healing.