LIke Dumas' said, you can download the instructions on natural horse supply.com. You may have to practice a couple of times before getting it right but I've tied several halters from those instructions. They tend to run big though so I resized a bit.
My tack store sold 100 yards of the rope for 10 dollars. I tied 3 halters from it and still have enough rope for another halter or two. Not bad.
It is still easier to just go buy a rope halter but I thought it was a fun project.
I use the basic plan of the first one, and alter the measurements based on the second one's sizing graph. I like the second one's diagram for a double overhand knot. Oh, and I use 1/4 inch diameter rope, because it's easier to deal with and it encourages the horse not to lean on the halter as much.
If you want the ones like they sell in stores then use the Fiador knot and the double-overhand knots.... I also suggest using a lot of extra rope (more than it says to use) so that one end isn't too short (that happened to me). The double overhand knots are a bit tricky to master. You have to know excatly the right way to tie them in order for it to look professional. I wish I could explain in, but it's really hard with out showing you.
Anyway, it's more of a trial and error thing. Especially if you are a perfectionist like me. You can also make the Clinton Anderson type halters by just adding two more knots on the nose band.
Good luck! And don't give up too soon, because once you understand it it's a blast.