First you need to find an employer, employer has to apply for a labour market opinion and then you can apply for a work permit. For more info, see http://www.cic.gc.ca/english/work/index.asp and http://www.hrsdc.gc.ca/eng/workplaceskills/foreign_workers/supperimm.shtml
Have you had some kind of work permit as a hockey player? According to http://www5.hrsdc.gc.ca/NOC/English/NOC/2006/ProfileQuickSearch.aspx?val=5&val1=5251&val65=athlete being a hockey player is a skilled profession and if you have been doing that for more than 2 years, you might qualify to apply for your permanent residency through Canadian Experience Class. If you do that, it's supposed to be fairly fast, 6 months or so and then you can work anywhere and live in Canada as long as you want, as long as you stay in Canada at least 2 years out of every 5. See http://www.cic.gc.ca/english/immigrate/cec/index.asp for info about Canadian Experience Class.
