Caution I'm not liable if your shock yourself and injury or kill your self, working with high voltages can be dangerous!!
I started this instructable about half through building the zapper, sorry for lack of images and details i realize my instructions may be kinda confusing.
How bug zappers work:http://home.howstuffworks.com/bug-zapper.htm
This zapper does not have the power of a normal one but it does produce a few hundred volts which should be enough to kill most insects.
I haven't been able to test this outside yet because the bugs have come out yet but when I complete the circuit with a metal wire a loud snap and spark are produced.