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.