Disclaimers: Knife making is dangerous, I'm not responsible if you get hurt. Also, know your laws, and don't make anything illegal. I'm not responsible for anything that happens as a consequence of you reading this.
This is a personal project of mine, and when I finished, I thought, why not make an instructable out of this? So here's the result. This is my first knife in the pictures. This isn't an instructable to make the best knives while prancing about all your fancy machines, but rather an instructable that an ordinary person, with no prior experience and limited materials can do as well.
Overall, I spent around $5 on the knife itself, and the tools were $10, for the files and clamps. The rest I had. However, you can borrow tools from a friend as well.
You don't need too many tools, but the more you have, the easier it is. This is stock removal, meaning you start with a bar of metal, and remove whatever doesn't look like a knife. Full tang.
-1/8" Drill Bit
-Saw, preferably a reciprocating saw, but hacksaw works too.
-Files. One flat, and one half round. Bastard files will do the job faster, although I use a single cut towards the end for smoother results.
-Sandpaper. As low as possible to as high as you want. I used 80-200, with 100 and 150 in between.
-Epoxy. I used JB weld. The longer it takes to set the better.
Sheffield's knife supply is a great place to buy. They may be a bit gruff, but they have great prices, and provide good and honest survice. USAKnifemaker's is also a good place.
-Steel. I used 1080 steel, which is probably best for beginners. Don't use random steel, since heat treat will be difficult. All temperatures and heat treating methods are for 1080 and 1084 steel.
-Handles. I used micarta handles, although any will work. If you're using wood, or something delicate, you need to be careful during the peening process.
-Pins. 1/8" Brass pins. If you want bigger pins, than you'll need a bigger drill bit.
I'm pretty sure I forgot something, please comment if you notice some materials are missing.
Step 1: Designing
I use inkscape for this part, but you can use whatever you feel comfortable with. Basically, draw out the knife, plan out the handles, and know where everything goes. The knife will probably change a bit from your design, but a good solid idea is essential.
Mine looks different from the design, but the main idea is still there. Also, I decided to go two pins instead of 3, since more isn't necessary for me. It's all your choice though.
I'm using 1/8 thick 1080 steel, and around 9 inches long.