I found a tutorial, online. Here is the link, in case I don't explain it well enough.
Sorry for any blurry pictures.
Step 1: Supplies
*Something for a cover (a book, some cardboard, anything)
*Needle and thread (thick thread, embroidery string, waxed string, wire)
*Something to cut (Exacto knife/box cutter and scissors)
What you might need:
*Patterned paper (or fabric) to cover binding
* Modge Podge (or some other glue)