Video of it in action at: http://www.youtube.com/watch?v=xKQ3d_iASho
Step 1: Materials
You'll need 6 pieces of paper, square if you have it. Start with plain old white printer paper and after you have the hang of it, feel free to get creative with shiny pretty coloured papers.
Scissors, and tape or a stapler is all else that is needed.
Optionally for hanging it you can use a hole punch and some yard or string.
Step 2: Square the paper
Once you do this for one, you'll have your square so you can either use that as a guide and cut the remaining stack of five, or if you want to be extra precise, do the fold and cut for each other piece.
If you already have fancy square papers (or not so fancy... have you tried newspaper for a really large one?) around the house, you can skip this step.
Step 3: Fold the paper
Just fold the square into a triangle by taking one corner and folding it down to it's opposite corner.
Then repeat this again so you have two folds (4 layers).
Now do this for each of the 6 pieces.