The basic method is to take a pectin rich fruit and extract the water soluble pectin by boiling it, then concentrating the liquid. Apples are a good source of pectin because they both contain a lot of pectin and have a relatively neutral flavour (as opposed to orange peels for instance).
Step 1: Ingredients and tools
3 lb Apples
4 cups Water
2 Tbsp Lemon Juice
Jelly bag/cheese cloth and strainer
I am using the basic method from www.pickyourown.org, a website with a lot of very helpful information.
Step 2: Cook Apples
Strain the results through a jelly bag to extract only the liquid. If you are concerned about cloudiness don't squeeze the bag. If you don't have a jelly bag (though I highly recommend getting one if you plan on making jelly) you can line a strainer with a few layers of cheese cloth.