Dori Bejleri's answer gives an excellent general overview of double cover constructions. Let's work out some of the details in the case you want to understand. (Sorry if this is long-winded; I don't know the textbook treatment, so instead you get my stream of consciousness.)
First of all, suppose that $f:Y \rightarrow X$ is any generically finite morphism of smooth varieties (in characteristic 0, say). Then pullback of top-degree differential forms gives a map of sheaves $$f^*: \omega_X \rightarrow \omega_Y$$
which you can check is injective. So $f^* \omega_X$ is a subsheaf of $\omega_Y$. We want to understand what the "difference" is.
At this point, let's specialise to a double cover $f: Y \rightarrow X$ of complex surfaces. As we know from Dori's answer, this is determined by a section $s$ of a certain bundle $L^{-2}$ on $X$. To understand this in a more down-to-earth way, let's focus on an open set $U \subset X$ in which $L$ is trivialised: then on $U$ we can identify $s$ with a regular function, and the open set $f^{-1}(U) \subset Y$ is exactly the subset $\{(x,y) \in U \times \mathbf A^1 \mid y^2=s(x) \}$.
(For the statement you want to be strictly true, one should assume that the ramification locus is a smooth sextic, so from now on I assume that $s(x)=0$ is a smooth curve in $X$.)
Fix a point $p=(x,y)$ of $Y$. For simplicity let's work in the classical (or analytic) topology. If $s(x) \neq 0$ then by the implicit function theorem and the equational description of $Y$ above, there's a (classical) open neighbourhood $V$ of $p$ in which the map $f:(x,y) \rightarrow x$ is an isomorphism from $V$ onto an open set in $X$. In this case we certainly have $(f^* \omega_X)_{|V} = (\omega_Y)_{|V}$.
On the other hand suppose that we look at a point $p=(x,0)$, that is, a point where $s(x)=0$. Then we can choose coordinates $(u,v)$ locally near $p$ on $Y$, and $(z,w)$ locally near $f(p)$ on $X$, in which the map $f$ is given by the formula $f: (u,v) \mapsto (u,v^2)$. A local generator near $f(p)$ of the sheaf $\omega_X$ of 2-forms is given by $\omega = dz \wedge dw$: this pulls back to $f^* \omega= du \wedge d(v^2) = -2v (du \wedge dv)$. (Note that in these coordinates the ramification divisor on $Y$ is given by the equation $v=0$.) Now $du \wedge dv$ is a local generator of $\omega_Y$ near $p$, so in this open set we find that $f^* \omega_X = v \cdot \omega_Y$.
Putting all this together into a global description, we find $f^* \omega_X = I_R \cdot \omega_Y$ where $I_R$ is the ideal sheaf of the ramification divisor on $Y$. One could also write this as $f^* \omega_X = O(-R) \otimes \omega_Y$, or again, in divisor notation, as $f^* K_X = K_Y - R$.
Finally we observe that the branch divisor $B$ on $X$ pulls back to $f^*B = 2R$ (e.g. because its pullback is defined locally by the equation $v^2=0$ in the previous notation). So we can rewrite our last formula again as $f^*K_X = K_Y - \frac{1}{2} f^*B$, or more elegantly, $K_Y=f^*(K_X+\frac{1}{2}B)$.
In your example $X=\mathbf P^2$, so $K_X=3H$, and $B$ is a sextic; plugging these into the formula above gives $K_Y=0$. This explains why $Y$ has trivial canonical bundle.