I have not built a fly rod yet but I have done quite a few spinning rods and some casting rods but it is the same principle. Mud Hole shows you how to do it and I think the Cabelas Tackle Craft catalog shows you how to do some of it also. What type of fly rod do you want (what do you want to use it for) and how much do you want to spend?

4-5 weight, trout. 2 piece. Not sure about the money, nothing insainly expensive, other wise i would just buy one.

here is a great site:

http://www.flyrodcrafters.com/

on there you can buy a kit for 110$
not bad i don't think