I learned how to make a monkey fist knot at a juggling festival a few years ago -- just for fun I made Dodger a toy out of rope that managed to keep him busy for at least a few days...
Step 1: Materials
Scissors or a sharp knife to cut the rope (Be carefull!)
Lighter to melt the rope ends, to prevent fraying.
Step 2: Monkey First Knot
Two good sites (with pictures) of how to make a monkey first knot are:
Start about 10 feet from the end of the rope -- this'll give you about 6' for forming the knot + 3' for the end braid + 1' for tightening...
The initial knot has to be pretty loose, otherwise you'll never be able to feed the last three loops through the knot.
To tighten the knot, start with the rope at one end of the knot. Almost as if you were trying to untie the knot, push/pull the rope into the knot, creating a loop. Following the path of the rope, push/pull the loop through the entire knot, pulling the loops tighter as you go.
Cut/trim the rope as needed to end up with a monkey-fist knot in the middle of two 3' ends of rope.