Diodes can be made of Silicon, Germanium or even copper oxide.
Note: The there is only one alligator clip connected to that wire, the other is an illusion.
Step 1: Aquiring Copper
Wash it in clean (preferably distilled) water.
Step 2: Making Copper Oxide
The best solution is to put it in a propane torch glowing red for a minute or two.
Hold it with pliers!
You may be able to use another heat source but the copper needs to turn red.
Step 3: Making the Diode
Avoid damaging the black/red oxide layer.