Buy a lamp kit like the one linked in Resources. It should have a cord, socket, switch and harp. Hardware and home improvement stores often sell lamp kits.
Get a long tube for the body of your floor lamp. PVC pipes and bamboo poles are both cheap, lightweight and easy to work with.
Prepare your tube. Drill a hole near the bottom of the tube for the cord to exit. If you are using bamboo, take a metal pole and heat the end over a burner. Poke it through the sections in the middle to make one continuous tube.
Look at the cord. There will be two wires, one attached to the thick prong of the plug and the other attached to the thin one. Put a piece of tape on the wire attached to the thicker prong.
Thread the cord through from the hole in the side of the bottom so that it comes out the top. Hold it in place with some tape while you thread it through.
Prepare a base. Any thick, flat piece of wood such as the seat of a broken stool will work. Drill a hole the same diameter as the tube in it and glue the tube in.
Hook the cord up to the socket assembly. There will be two metal screws or pegs sticking out of the socket. Wrap the the wire with the tape around the lighter colored one and the other wire around the darker one. Solder both wires into place.
Assemble the socket assembly including the harp, and put in a light bulb. Rest it in the top of the lamp, plug it in and turn it on. If it works, glue it into the top of the lamp with some epoxy.