I've included hard covers, and a pretty, covered band, but they're not mandatory.
On to the show!
Step 1: Gather Supplies!!!
Sheet of paper (mine was 18"x24")
Pretty paper to cover with (wrapping paper? magazine scraps?)
Glue (I like Aleene's Tacky Glue for this)
Step 2: Begin Folding the Paper to Make the Creases.
Fold the paper in half, matching the corners as carefully as you can. It's easiest if you make this fold along the long edge of the paper; for example, I folded the 24" edge so that the resulting size of the paper was 18"x12".
Step 3: Continue Folding
Next, fold one free edge over to meet the creased edge. Unfold the fold you just made, turn the paper over and repeat that fold on the other side.
You'll have a flat piece that's got creases down its length. Fold this in half to make a crease going perpendicularly to the previous folds.
Sharpen all the creases and folds by pressing them and folding them in both directions.
Unfold the whole paper and lay it flat.
Step 4: Cut the Book Open
Cut carefully on the indicated lines. I cut the center cut with the whole paper open, then fold it in half and cut the other two lines through both layers at once.
Step 5: Fold the Paper Into a Book.
Step 6: Make the Cover
Cut out two rectangles from the pretty paper at least half an inch longer and wider than the cardboard covers.
Glue the cardboard to the center of the wrong side of the paper, pressing firmly. Put a drop of glue on each of the corners of the cardboard, then fold the corners of the wrapping paper down into it, making nice 45 degree angles. Then glue the long edges of the wrapping paper to the cardboard.
Put glue on the back of the cover, center the last page of the book over it and press it down carefully, wiping up any glue that might squeeze out. Repeat on the other side of the book.
You can, if you want, stop at this point. You've made a beautiful book. If you want the wrapping band, continue on.
Step 7: Make the Wrapping Band
Set the book aside, and make a second set of score marks 1/4" outside of the first set. Fold the cardboard on the marks and ensure it fits all the way around your book.
Cut a piece of the wrapping paper at least half an inch bigger than the band all around. Cover it the same way you covered the book covers. Carefully fold the band on the scored marks and glue the overlap so it closes.
I had to hold this part under pressure for about 2 minutes, but then it stayed very stuck.
Once the band is mostly dry, slide the book into it and admire your wonderful folded labyrinth book.