It was a 12-part miniseries in the '80s - you can find it as a graphic novel now (just called "WATCHMEN," by Alan Moore), though it's been sold out at most bookstores since TDK came out, I'd order online.
It's up on Demonoid, as well, if you don't mind reading on your computer screen.
And I disagree with DAYV, I'd read the graphic novel first, it really is that good.