Instructables
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This was a very easy project to do.
Materials and tools: Scissors, vinyl sticker of various colors, copy paper, pencil, a lamp, tape or hot glue.

All i did was:
-Trace a pattern onto copy paper.
-Cut pieces of of vinyl sticker(various colors) into the shapes of the pattern i drew.
-Put all of the cut stickers on the pattern.
-Cut a shape from the paper fitting my lamp. (you may need to find your own method depending   on what kind of lamp you have. Mine's just a cage-heating lamp that i use as a normal lamp.)
-Tape (or glue) the "stained glass" lampshade onto your lamp.
-Turn your lamp on, and enjoy.

Tips:
You can come up with your own patterns depending on your own interests. If you're a hardcore Zelda fan like me, you might want to either copy my design, or make your own Zelda related design. If you do decide to make a lamp shade like this, be sure to post it and show me. I'd appreciate it.

Possible questions: Where can you get vinyl sticker like that? I just got it from one of my teachers who happens to have a vinyl sticker machine. You can probably buy it in certain stores or just order it online.

P.S: if yours has any light-seams like mine does, you can just paint or sharpie over them on the back of the paper to get rid of them.