I've built three and have found it is a two part process;
First the basic structure. These were built out of locally supplied timber and can vary in the details, but the easiest way is to build two leg sections and the set them upright and attach additional supports.
For the vanes I used a couple of thin metal rings with a small gap from the hardware store and some cardstock. First fold the cardstock accordion style five or six layers deep and cut out your vanes (you may want to do this twice). Then punch two holes in the vanes and slide them onto the rings. Once all of the vanes are positioned glue them in place. You will then need some sort of axle to attach the vanes to, I just clipped one from a paper clip.
That may not be too helpful, I redo one this weekend and take pictures if you need.