Start with a piece of  regular printer paper. If that is not available

Draw the outside parameters of your maze. The simplest mazes to make will have a square or rectangular shape.
Once you become familiar with the process you can make your mazes whatever shape you want.

Leave an opening on opposite sides of your maze--one for the start, one for the finish.

Starting from the finish point, draw out the path you want to follow to start. Make sure to use the grid pattern of the graph paper to move the path in many different directions before reaching start to make it a challenge for your players.

Once the correct path has been determined, now you must make distracting paths. Use straight lines around the correct path to confuse your players. Randomize the distracting paths to make them misleading. Because you will already have the correct path determined, do not be worried about making these distracting paths workable.

Write "Start" and "Finish" at their respective points on your maze, or some how else mark the entrance and exits.

Test it on your friends. Feedback on your mazes is critical for making them better. Maybe you are making the mazes too hard, or maybe too easy, or too predictable. Sites like MySpace and Facebook are excellent for testing your mazes on your friends.