I'm pretty sure you're not allowed to do that. (Wouldn't that be one of the most disturbing things to see as you're walking to work in the morning?)
You bring 'em to the vet and they get them cremated. Whether you choose to pay extra to get the ashes back (they have to do an individual cremation vs. a mass cremation, so it's not cheap) or to let them do what they want with it is up to you.
I think it cost about $200-$250 to get my last dog's ashes back.