I got this idea from Dollar Store Crafts. The tutorial is at that link. It's a little long so I won't go through how I made it here. Their instructions will be a lot better than mine anyhow. It's pretty easy to make and really cheap. I got almost all my supplies at the Dollar Store too! I used a slightly different wooden stick than they use and I got those at the grocery store.
Mine turned out pretty good except one thing- I didn't measure my manila folders to be cut the exact same length on all sides. This caused the sides of my lamp to bend inward in some places. So make sure when you cut your folders you cut all the pieces to match the other pieces exactly!