Step 1: Materials and equipment
And a pair of gloves.
and thats it,
as long as the snow holds together and you can make bricks out of it, then you wont need anything else, maybe a beer or two or a tea and coffee break to warm you up a bit.
Step 2: Start building the base
Build up the base and make sure you have a firm and wide layer of snow around the circle making sure you left a gap where the entrance will be.
At first you can just build the walls so they are vertical, but as your igloo is increasing in height make sure you add the snow bricks so they are slightly diagonal, pointing in a bit, so it can form the roof as you reach your prefered height.