I was not sure where to start and I was told by my supervisors that the best way to write one is to read a few Literature Reviews and not books on how-to… It is good advice and I am reading a few examples from theses online. Howver, there is so much information online that I had to see something about the structure. I wanted to make sure I am not falling into traps that other authors may have fallen into. The best (and shortest) guide I came across is by UCSC and is available on their website:
How to Write a Literature Review
Update 11 October 2012: Here is another good one.
PhD Diary 
Please dont waste time, a – recent book I found useful and has been my guide is The Literature Review Six Steps to Success ,( 2nd Edition) by Lawrence A Machi and Brend T McEvoy. Its a fantastic resource, I study in South Africa , University of Stellenbosch – Business School and I have been struggling to complete my thesis . Most courses do not teach Literature Reviews and I must be honest, this is one of the best resoruces. If you go on Amazon, you will find a host of other books such as Writing your dissertation in 15 minutes *(Joan Bolker ) , The literature Review – a step by step guide for students ( dian Ridley) . Try and see , let me have the your feedback .