Building your own screen for a home theater protector can give you an excellent picture and still save you dollars you can put towards the projector or your sound system. It also allows you to have any custom size screen that your situation might call for.
Step 1: Determine the size
While not really part of the building process, I thought I'd start here since it can take a fair amount of thought and can greatly influence the building materials you use. If you're looking at making a screen, you're already under a certain set of constraints like the size of picture your projector can throw. This of course is a factor of where your projector is located, its zoom range, your room layout and so on. You should also consider your seating distance, and how that impacts viewing angle and pixel visibility. Then you need to consider the aspect ratio of the screen (4:3, 16:9, 2.35:1). There's a bunch of great web pages on choosing a screen size, so I won't go into all that.
What I will point out is that you want to consider your building materials as you pick a screen size. Lumber and paneling is easiest to get in 8' lengths and king size sheets are only good for about 100" wide. Given the building material factors I sized down from an initial 100" wide to 96" wide. That's still 110" diag for a 16:9 screen so it's plenty large. Not only that, but the trim around the frame will add about 5" to the width, leaving me with just a couple of inches of width left on each side in my space.