For those not in the know, a dead cat is a wind jammer used on microphones. I love cats so please don't go PETA on me.
I do field recording/sample farming to use in sound design and music production. My focus is trip hop and ambient. Check me out on Soundcloud at Ticklebot.
Anyhoo, I use a Zoom H4n. Nothing fancy but it gets the job done. The dead cat that ships with the H4n is crap. There are a few outfits that will sell you a dead cat for $30 and up, but I love free.

Step 1: Source Materials

I got this Abercrombie faux fur lined coat a few years ago as a birthday gift. That was back before domestic life put a few pounds on me. Needless to say, the coat just takes up space. I was going to donate it but it was factory distressed and actually became more tattered with use. I wouldn't feel right donating a coat in such shape. But the faux fur lining is perfect for a dead cat. I cut a 9X9 inch square.
I also borrowed a hair scrunchie thingamajig from my better half. Shhhh!
When I sew I use dental floss as thread. Dental floss is mans thread. True story.
I'd recommend a thimble of you've never had a tattoo in your life. Or if you don't like cursing at a ball of fur several times.
If you don't have a faux fur lined coat lying around that you want to hack to pieces, no worries. Any fabric shop should stock faux fur. I priced some online out of curiosity and it was like $4 with shipping. I think that was a yard of fabric too. So a shop should be reasonable about hooking you up with a foot strip.

Step 2: Start Sewing

I laid the hair scrunchie thingamajig down on the inner part of the fabric and began to sew around it. Make sure that you allow enough fabric to fit the scrunchie in real good. I made one pass where I missed it. No worries tho. No need to go all Martha Stewart on this operation.
If you have no idea how to sew, learn. I've literally stitched myself up thanks to knowing how to sew. And I did it drunk too.

Step 3: Keep Going Around and Around

Pretty self explanatory. Just keep sewing loops until you get dizzy. By now you're probably wishing for a thimble.
Pointer: bunch the sewn fabric as tight as you can and then stretch the scrunchie thingamajig as you go.
Once it starts looking like a furry anus you know you're making progress. Or something like that.

Step 4: Test It Out

If you own an H4n or similar field recorder you know the pitfalls that even a butterfly fart gust of wind can cause on a recording. When I was first learning the tricks I would get home to discover some very good opportunities for sounds ruined by wind I had paid no mind.
Enter my testing lab. In our bedroom we have a Wind Machine fan. Mainly for the white noise as my cooling bill will show that it's already subarctic in this house...
The Wind Machine kicks out some serious breeze tho. I love it and highly recommend you buy one if ever in the market. I think it was like $40 at Walmart.
By the two pictures you can notice the dramatic difference in the input levels.
So that sums it up. I'll likely edit this Instructable at a later date as I'm using the app to post and I need to get to bed as I have a flight in a few hours.
Hope this helps you save a few bucks and gives you a cool new fingertip tattoo!