Summarize this article:

You can make an STP device very easily at home, but you will need to practice using before you try it when you are out. To make a “coffee can lid” device you need to get hold of the plastic lid from a coffee can, or something similar, such as a lid from a yoghurt pot. These plastic lids are good choices because they are flexible enough to bend, and the plastic makes them easy to clean. Once you have the lid, you will need to carefully cut off the edges and any lips around the edge of the lid. You want to trim the lid so that you are left with a smooth and flat disc. Make sure the disc you are left with is still large enough for you to use effectively. When you have your flat disc all you need to do is to roll it into a funnel shape. You will just need to pee into the funnel and the stream will come out of the narrow end.

Summary:
Get a plastic lid. Trim off the sides and lips of the lid. Bend it into a funnel shape.