You know the komplement shoeboxes? Sort of translucent, made of plasticky fabric, well they can be lampshades.
All you need is a Komplement shoebox and a wire coathanger.
A pair of pliers and a craft knife will be needed aswell...
I promise to get some better photos - Unfortunately the uploading is hit and miss with the neighbours internet...
Step 1: Cut the Hanger
This is simple, along the bottom rail of the coathanger in roughly the middle cut it in two.
*Note, I had forgotten how tough coathangers can be, I bent my little wire cutting pliers handles before switching to beefier pliers, best bet would be to use a little hacksaw so you don't damage smaller pliers by leaving a big notch on the blades, though that little notch is handy for stripping small gauge wire...
Step 2: Make the Slits
On the top edges of the Komplement Box make slits diagonally opposite eachother and bend the hanger so the two bits of the bottom rail are pointing opposite directions, with the slanted tops of the triangle coming across diagonally - look at the photo for a clear description.
Step 3: Slide the Rails in to Place
Slide the rails in to place up along the top edges, this should be easy but make take a little finagling depending on how battered your hanger started out.
Step 4: Hang It Up
Put the hook over the wire of the lamp fixture and set the top of the triangle on the top of the fixture, again photo explains better...
As a safety note I would say only use this with CFL bulbs, though the fabric-plastic is tough it might be meltable in the heat of an incandescent bulb.
For extra light you could slice one of the bottom layers to get more light below it.