How can I build a structure that looks like the thruster cone on a robotic space probe?
Here's another example: Thruster

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Buy a plastic kit for the space shuttle
Plasticard
Paper
Some hobby shops may sell lampshade parchment.
A translucent plastic vase.
You may be able to find plastic glasses that have a similar shape...
For example
and more
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Basically, look around the house and in your recycling bin. Find stuff that's about the right shapes. Cut, glue, wrap, and otherwise build up the shape you're looking for (or something else that looks plausible for the purpose, if you aren't trying for an exact reproduction). Paint.
Junk sculpture, basically.
If you want to make something yourself, the simplest approach might be to start with cardboard and cut out two or three flat sheets with the cross-section you want, then slot them together in the center to make a skeleton. With the skeleton, you can wrap a warmed up plastic sheet around it to get the actual shape, and trim off the excess. Practice with a sheet of heavy paper or light card stock to get the technique down.