To get started here is what you'll need:
Print out of the pattern, and cut it out.
brown/black and white felt
sewing machine yarn
knitting yarn for the mane
crocheting hook that works for the size of yarn you chose
If you'd rather just shop for the real thing, this little guy in the picture below is listed at the Etsy site at: http://www.etsy.com/view_listing.php?listing_id=6122901
Step 1: Sewing part 1
Cut out the pices for the donkey from your fabric. Cut the fabric about 1/4" larger than the paper pattern on all sides to account for seam allowances.
(Options: you can cut the ear and belly parts out of white felt, to give the donkey a different look. Here I cut out the insides of the ears out of white felt.)
First I sewed the belly parts together, and then the ears. Tunr the ears inside out.
Second I did the tail. Roll up the white felt and sew the red fabric around it. Pull over the right side of the tail, and sew the seam closed.