Step 1: Gathering your materials.
Find a small folding umbrella hat, a regular nine inch paint roller handle, and small microphone. Make sure the umbrella hat is vinyl and not fabric. Fabric is too acoustically transparent and will not reflect the sound properly. Just about any small microphone will do as long as it is reasonably sensitive. Here I am using a stereo "Clip-On" mic from Radio Shack (33-3028).
You will also need a few tools and supplies. This is basic stuff. Get a hammer, side cutter, sharp knife, razor saw, permanent marker, some gaffer's tape, and a few cable ties. The reamer is optional. A file might come in handy. So might a small laser pointer of some sort.
A little note for "dollar store purists:"
It is possible to build this whole thing using only components from the dollar store. Many of them sell small earbud headphones that can function like microphones, albeit very poor ones. The also sell little hands-free headsets for cell phones. Those have real microphones in them. They will require a little surgery to work but a dollar store purist won't mind. Using either of these options will give you a true $3 parabolic mic