Here's the link, if you'd like to do the same. It seems pretty easy to me.
http://www.hgtv.com/bedrooms/custom-fabric-covered-lampshade/index.html
Here's some fabric I found so far on http://www.fabric.com/ :
This one is on sale right now for $7.63/yd.
This one is $8.98/yd. I don't know if I want pink in the room or not though. But I like the pattern.
I think this is the one. $6.98/yd.
Of course, I love these too, but not for a lampshade. Maybe for a throw pillow? Too bad I can't sew.
This might be cool too. $8.98/yd.