A bit of history (from Wikipedia):
A Millwall brick is an improvised weapon made of a manipulated newspaper. It was named for supporters of Millwall F.C., who had a well-earned reputation for football hooliganism. The Millwall brick was allegedly used as a stealth weapon at football matches in England during the 1960s and 1970s. The weapon's popularity appears to have been due to the wide availability of newspapers, the difficulty in restricting newspapers being brought into football grounds, and the ease of its construction.
Water or something to wet the paper (optional)
Sorry for my english (I'm italian).
Step 1: Roll It
First you have to roll the paper like the picture.
If you roll it tight it will be better.
If you want to make the club harder you can wet it before rolling it (it will be heavier).
Step 2: Fold It
Now you have to fold in two parts the rolled newspaper.
Step 3: Tape It
Roll the end of the newspaper with the adesive tape.
Step 4: Use It
You have your emergency paper club.