It's done passively, bit by bit, as you go. George R.R Martin didn't publish a huge sheet explaining everything that happened before he published his first A Song of Ice and Fire book (he did release a book detaling the world, but only long after he had created it through the book series). He published his first book and unraveled the backstory as he went. Little by little, using everything from character thoughts, to speeches, and the occasional in-character history lesson (or even just passive references), he built a rich world that is the setting of one of the most popular book series and TV show. He built this world through the eyes and words of the characters, and now fans lose themselves in it.