Pumpkins can be peeled, cubed, and boiled or steamed, but because they are very hard to cut when they are raw and very easy to handle once they are cooked, my favorite way to cook pumpkin is to roast the whole thing until it is tender. Just rinse it and place it in a large baking or roasting pan, carefully pierce it with a knife making sure to go all the way into the interior cavity, and roast the pumpkin in a 350ºF oven until you can pierce it easily with a fork, 45 minutes to an hour or so (it will vary with the size and variety of pumpkin.) A small pumpkin, halved or quartered, can also be cooked, one piece at a time, in a microwave.
Once it has cooked, set the pumpkin aside until it is cool enough to handle then cut it in half, remove and save the seeds to make toasted pumpkin seeds, and discard the fibers. Scoop the pulp into a food processor and process until smooth. If the puree is thick, go ahead and use it as you would canned pumpkin. If it is watery, scoop it into a colander lined with opened coffee filters, cover it, and place the whole thing in a baking pan. Set it in the refrigerator and allow it to drain until it is thick. While any pumpkin can be cooked and used as puree, the pale cheese pumpkins or small sugar pumpkins have denser, sweeter flesh and make better pies. The large bright orange ones used for carving tend to be more fibrous and watery but pureeing in a food processor and draining makes them good for use in baking as well.