Step 1: Buy parts
1. A 1 farad 5.5 volt super capacitor
2. A male USB connector. (You can cut a USB adaptor and use only the red and black wires or + and - connections
3. A normally open push button switch
4. (Optional) A toggle switch
5. A perf board or etched circuit board
6. A Led any LED works as long as it is not above 4.5 volts. Preferably with built in resistor. You can also use this color changing LED
7. A resistor if your led does not have one.
8. Wires if you are using a perf board
9. A usb charger. (You may be able to use a computer USB port but I don't take any responsibility for any damages to your equipment.)
Most of the parts can be bought from http://allelectronics.com. They have the very best prices that I have seen so far.