All you need is a Letter-sized piece of standard weight paper, although A4 will work fine.
And the build process in video form:
Step 1: Preparation
Make a lengthwise valley fold.
Step 2: Fold Corners
Flip the paper over.
Repeat the fold.
Step 3: Laying It Out
Fold the "triangle" down.
Step 4: Strange Folds
Fold the top corner of one side to the middle crease on the triangle, about 1 inch above the point. Experiment with different lengths away from the point and see what works best!
Repeat with the other side.
Fold the small "triangle" you just formed upwards to hold the flaps in place.
Step 5: Making the Wings!
Use the top of the nose as a pivot point for this fold.
Fold the wing down, with the lowest point of the wing touching the bottom of the fuselage.
Flip the plane over.
Repeat the wing fold.
Step 6: Finishing Up
All you have to do it "defold" the wings, so that they are just over 90 degrees to the fuselage. That's pretty much just slightly upwards.
Now toss it! Aim for just over the horizon. If you're outside, aim into the wind for a loop-de-loop.
1) If the plane goes up and stalls, bend the back of the wings down a bit.
2) If the plane always seems to be headed towards the ground, bend the back of the wings up a bit. Be careful not to bend the wings too much, or you'll have to go back to Problem 1.
3) If the plane turns one way, bend that side's back of the wing down a bit. This may also be a problem with the angle of the wings. Be sure that the wings just over 90 degrees from the fuselage.