I received a Native American Bead loom from a friend. Unfortunately, I didn't understand any of the instructions. But fortunately, it did come with beads, thread, etc. So I put them to good use!
You'll need:
seed beads
thread
tape
scissors

Step 1: Okay! Let's Start!

First, measure out a length of thread to your arm length. Fold that in half. add a third string, this one the same length as the folded ones. Tie together. You can do more strings if you want. Tape it to a table, on the loop. Now, carefully thread the bead onto the string. (You may need to lick the string first.) Bring the end of the thread through the hole in the bead. Tie it tight, but not too tight, and roll it up the thread to the end, or next to the bead. When it's next to the bead, make sure it's a tight fit. Repeat with all strings. This is the long part, but it's worth it in the end!

Step 2:

When you've decided that it's long enough, take a bead from the pile. Gather up all three strings and, well, lick them. So they're one. Slide the bead through them and knot as shown in step 1. Slide it really, really closely to the three strings of beads. You want to have leftover string to knot it to your wrist. Once you've knotted it to your wrist, it's done!*

*Tip: Make sure it's knotted tightly to your wrist or the beads will sag.