just follow the circuit diagram and you"ll be fine.
(Sorry for the bad grammar, i`m from Holland)
↑↑↑↑↑↑↑↑↑↑This is how your regulator could be looking like when you`re done :) ↑↑↑↑↑↑↑↑↑↑
Step 1: Parts
1x TS7805 5 volt regulator
2x 1uf capacitor
1x power plug (or other connector)
1x 220 ohm resistor
1x Blue LED (I used a diffused one)
1x Mirco Switch
*The LED, switch and two connectors are optional, make it how you want.
*You could even add a cooling van for higher voltages!
Follow the schematics at the pictures and make sure it works on a breadbord if you have one before soldering it on a PCB.