These are a great, relatively inexpensive (and no sewing!) way to dress up your windows, or just get rid of your rental mini-blinds...
I started with a cheap vinyl shade from Home Depot - you're going to rip the vinyl off, so get the flimsiest, cheapest one. If you are very on top of things and measure your window first, you can use their little shade cutter to trim the shade to length. Otherwise, you can use a small hacksaw or utility knife to cut through the tube - it's made of cardboard. Also pick up some mounting hardware - if you are working with a smaller window, the shades are usually around $3 and the hardware is under $1. The super wide shades run about $10-15.
You'll also need enough fabric to fit within your window. It needs to be at least 2 inches wider than the finished shade, and a foot to 18 inches longer. Finally, you'll need fusible backing as wide as the finished shade and as long as the fabric and some fusible seam tape. You can go super cheap with the fabric - the fusible backing prevents it from being see-though and gives it enough rigidity for the shade. In the picture above, I used less than $3/yd cotton ticking from Walmart. It was wide enough to use sideways, so I used less than a yard total for that particular window. This is also great for windows that are really wide - it might be easier to find fabric you can hang sideways (assuming your window isn't too tall) than to mess with seams or extra-wide, more expesive, decorator fabric.
The first step is to mount the hardware and the roller tube (tear the vinyl off first). The tube cuts easily - I used a cheap serrated kitchen knife that I keep in my toolbox for this type of thing. Make sure to trim the tube on the NON-springy side - the mounting clip should pull out fairly easily on the proper side and stick back in when you're finished trimming.) The key is to measure your window VERY carefully, measure the width of the mounting clips on the shade, and then cut the tube to be a scant 1/8-1/4" narrower than the window with the mounting clips taken into consideration. Err on the wider side, since you can always cut more off. You do have a little bit of wiggle room, since the mounting clip can be pulled out a bit if your tube is slightly too narrow.
Once your tube is cut to size and you're sure it fits inside the window, you'll want to hang it up. The mounting brackets come with instructions, but keep in mind that they are meant to be installed with the fabric coming out the back of the roll. I did mine the other way around, to prevent the fusible backing from showing. They work fine if you just reverse the brackets. Be sure to check your window for level and adjust the brackets accordingly. If you window is REALLY crooked, the shade might not be a great idea, since it needs to hang as straight as possible.
Once the tube is ready to go, you can use its measurements to cut your fabric. You'll want to cut the fabric about 2 inches wider than the shade and the backing exactly the width. Working carefully, iron the backing onto the center of the fabric (leaving an overhang on both sides) - make sure the backing is perfectly straight, since you'll use it to hem the edges. This is definitely the most time consuming part of the whole project.
Once the backing is ironed on, use the fusible seam tape to fold the side edges under. You could sew the edges as well, but I like the totally clean look of the tape. Trim any material that sticks beyond the tape for an even hem - when the light shines through the shade you'll be able to see the hem slightly and it looks nicest if it's even.
The last step is to fold the bottom under (be careful that it's not upside down if you're using fabric that has a distinct direction) and hang the shade. The vinyl shade should come with a wood or plastic insert in the bottom to pull the shade down. Fold the bottom of your shade up in the back and fuse with the tape, leaving about a 1" pocket. Cut the shade pull to width and slide into the pocket.
To hang the shade, I use duct tape. You could probably staple gun into the cardboard, but the duct tape works really well. Make sure you know which way the tube rolls (if you want the shade to come off the front of the roll, which is backwards from the way they are sold, the spring loaded side will usually be on the right). Tape the shade onto the front of the tube, and hang back in the brackets! You'll need to experiment to get the tension just right - just take the shade down and roll/unroll the fabric until the spring is wound tight enough to raise the shade by not so tight it snaps up by itself.
EDIT: Here is another pic with a closeup of the hardware.