www.lindsaybks.com should provide all th' info you are willin' to pay for (buy books)
Find and lease a huge river. Build a dam across it so you have extra water to drain thru the turbines. Inside the dam build water ways with controls to regulate the flow of water thru the turbines. Build turbines that will harness the water power but turning shafts. Connect the shafts to generators. Connect cables to the output of the generators. Run these cables to cables on tall metal towers that connect to the power grid. There are a few features that i've left out such as control, staffing, design and most impotantly a way for billing for the energy you produce.
If you want to generate electricity from kinetic energy (movement), then simply connect a motor in reverse. when you turn a motors shaft, a voltage is produced, the faster you turn, the higher the voltage. However this is an AC voltage, so needs to be converted if you want to use with electronics. On the other hand, if you want to generate electricity from heat, then you will need to buy a thermocouple, or if you can afford one, a peltier or seebeck unit, the latter of which is extremely difficult to find. If you want to turn light to electricity, you need a selenium cell or solar panel. Once you have decided what you want to turn into electricity, do what steveastrouk said, search for an instructbale.
Help us out a bit here: Electrical generator (from metal parts and wire)? Wind/water-turbine plus generator? Combustion engine plus generator = gen-set? L