The lamp is filled with half water and half oil (or all oil if you like, but it's not as pretty!), and will burn for several hours depending on its size. The one I made will burn for a good twelve to fourteen hours, perhaps longer (I haven't exhausted it yet). All of the materials I used, I had lying around already.
There are endless variations that can be made. If you ever did the experiment in grade school with food-coloring-dyed liquids that float on each other due to different densities, you can turn this into a beautiful piece of artwork. Glycerine and rubbing alcohol work well. Cork will float between the water and oil.
Step 1: Materials
1 glass or heavy plastic bottle with metal screw-on lid
1 sharp poking implement (I used the pointy end of a metal compass, but anything sharp, like a rusty old nail*, would work just as well)
1 bottle of olive oil
1 piece of 100% cotton scrap (I used a clean old sock with a big hole in it) **It's important that it be all cotton. If there is polyester or anything else in it, it may produce unhealthy fumes when it burns.
1 pair of scissors
*Rusty old nails are dangerous and should never be used for anything.