How do I buy rolls for change?

I went to my local convienence store with a baggy full of 35$ worth of quarters, I took out the bag and asked if I could get this in 3 10 dollar's and 1 5 dollar.. She immidiently exclaimed I needed to roll it. What the **** is a roll, where can I buy one, and how do I roll it? 10 points to the person who awnsers the most helpfully?