Don't worry, it's not as hard as you may think! :)
Mix some white glue with very little water in a pot, just to make it more fluid.
Once you have these 2 things ready, blow up a balloon: this will be the base of your lamp so make it as big as you want, but remember that your lamp will get bigger after you've added pieces of plastic bag around it.
Start gluing your pieces of newspaper on the balloon with the glue you prepared: spread some glue on the balloon, lay your piece of paper on the glue and add some more glue on it. Continue this way until your cover the whole surface of your balloon, one piece after the other.
Once you're done, do at least another two layers to make it hard enough, and let it dry for at least a night.
Cut 10x44cm (3.93 x 17.32 inches) strips out of the bag. Don't worry about the longest side, it can be a little smaller or bigger than 44cm, the result will be perfect anyway.
I can't tell the exact number of strips you will need because it all depends on how big your balloon is, but I can tell you that you will need MANY so make sure to have more than one plastic bag.
Hint: your lamp will result much better and softer if you use a very thin plastic bag.