There are various ways to make an entire lampshade from scratch, so it's hard to know which kind you want.
You can create a frame from wire, other metals, wood, etc, basically anything that's stiff and you can shape. You can then put all kinds of things around/over it to create the shade from fabric, to plastic, to glass, etc, etc.
You can also make shades that will themselves be stiff and not require a separate frame, from papier mache, polymer clay, various kinds of plastics, etc., etc.
http://images.google.com/images?q=how+to+make+lampshade+-lampshade+frame
http://www.google.com/search?q=how+to+make+lampshade+-lampshade+frame
http://glassattic.com/polymer/covering.htm (click on the subcategory "Nightlights, Lamps & Screens," under the Glass&Ceramic category)
Or maybe this is what you're asking for?:
http://www.google.com/search?q=how+to+make+a+wire+frame+lampshade
HTH