All you need is a disposeable cup with a waxy covering, a larger plastic container, a candle, something to weigh down the cup, and some water.
you find this ineresting please vote for it in the "Lamps & Lighting Contest."
Also, here is a general warning when it comes to fire...
Never laeve a fire (or candle for that matter) unattended...
Even if it is surrounded by ice.
Step 1: Forming The Base
Step 2: Forming The Walls
Step 3: Finishing The Candle
NOTE: They do make eletric candles that imitate real candles, Do Not Use Those they will malfunction with the puddle of water forming in the bottom.