The pictures about You are saying now are made using method called focus stacking - You are doing a serie of photos with different focal points and than, using some software like photoshop, You merge all the frames in one which has full focus spectrum. This needs time and some experience but the results are great... Other thing is that this kind of focus stacking images are not made in the real nature but in studio - and the insects are not moving...because they are dead :(.

But using the proper proffesional macro lenses will also gives You much better DOF without catching the insects or spending hours in processing works...