There is some great information available in the stickies at the top of this forum. I know there are some dead links here and there, but again, a lot of good resources.
A helpful searching hint: type in your search in google followed by {site:bladeforums.com} with the brackets removed.
Remembering back to when I first started researching the making of knives, I thought I'd give you a general synopsis of the steps required to make a knife.
1. Find your blade material. This could be anything from a pre-formed, pre-heat treated blade (i.e. a "kit" knife) which you finish with a handle all the way to the latest and greatest high tech stainless steel. A suggestion to make your life easier would be to use a known steel. The reason for this is explored later in the list, but suffice it to say the each steel has a specific requirement for heat treatment. Good steels to start with include 1084 if you're heat treating yourself or pretty much any steel if you're sending it out (though air hardening are easier to have heat treated...these would be typically your standard stainless steels of 440C, ATS34, 154CM, etc).
2. If you didn't opt for a pre-formed blade blank, you next have to layout your design and shape your blade profile. You can layout with anything that will mark steel including a scribe or a sharpie. Shaping also comes in many forms. You can use a drill to make holes around the outline of your blade, and then use a hacksaw to "connect the dots". Or you can use an angle grinder to get close to your profile and then clean it up with files. Or you can use a belt grinder.
3. Now you need to layout and drill holes for your handle pins/bolts/tubing/etc. You can manage this with a good drill bit and a hand drill, or a drill press is just that much easier. Do not wear gloves at the drill press, and DO wear eye protection. Also, clamp your blade down so it doesn't become a spinning blade if the bit seizes.
4. Now the tough part: shaping the bevels. Without power tools, you accomplish this with a file. A chainsaw file is helpful to establish your plunges, and then a flat file can be used to start removing the material. You can finish by draw filing. If you do some searching for these topics, you will find plenty of suggestions, tips, jigs, etc. A faster way to do it is with a belt sander. Many makers start with something like a Craftsman 1x42 or similar and then upgrade to a 2x72 at some point.
A good tip is to clean your file on a file card after every one or two passes to keep from galling your work. Also, chalk in the file tends to help it cut longer between clogs.
Also, take your edge down to just a tad thinner than a dime before heat treating.
5. After you have your blade shaped, you can do some sanding to further smooth out the deep filing marks. Get something flat to back your sand paper and go to work. Use some kind of fluid (cutting fluid, WD40, motor oil) to help keep the grit in suspension longer. Use sandpaper like it's free.
6. Now you're ready for heat treatment. At this point, many new makers send out the blades for heat treatment. This is where working with known steel comes in. Each steel has a specific heat treating recipe. And yes, all steel needs to be heat treated to make a servicable blade. The reason Lowe's or Home Depot's weld steel will not make a knife is because it doesn't have enough carbon. Steel, in its most basic form is iron and carbon. You have to have enough carbon to harden the steel appreciably. There are many other alloying elements that are added to various steels to create specific properties that also effect heat treatment. This is why knowing what steel you have is imperrative. My suggestion is to send it out for heat treatment, or build a simple small propane forge (maybe a two brick forge) with a baffle to use in heat treating. Regardless, temperature control is important. Overheating can cause bad effects that will make your knife brittle. Not enough heat and you don't harden. 1084 is a good beginner steel because it has a critical temperature very near where the steel becomes non-magnetic. It is just a bit higher, but you should be able to get very close to the ball park using a magnet. After the entire blade becomes non-magnetic and evenly colored, you can quench the blade in something like canola oil (probably fast enough for 1084 in the thickness of a knife). Don't think, however, that all steels will harden just fine in canola. Some need a faster quench (formulated oils), some need a slower quench (air or plate). Again, it depends on your steel.
After hardening (heating to critical and quenching), you need to temper the blade to make it less brittle. This is done at much lower temperatures (generally in the 400-500F range), and it releases some of the stress from the steel, lowers your hardness, and creates a servicable blade. If you send your blade off, this will be done as part of the heat treating service. If you do your own, you typically temper for 2 hours, 2-3 cycles dpending on the steel. The temperature also depends on the steel and your target hardness.
7. Now that your blade is hardened, you have to do some finish sanding to remove oxidation or scale from your blade and get things just right. Once you have your blade where you want it, tape it up to prevent scratches.
8. Next you have to apply a handle. There are full tang knives, hidden tang knives, slot tang knives, etc, etc. Most likely your first attempt will be a full tang which just uses scales attached to either side of the handle tang. Mark your hole locations in your handle material and drill them. Next shape the front of your scales where they will meet the ricasso. Next, epoxy you scales to the tang along with your pins/bolts/tubes/etc and let it cure for a day. Use a slow cure two part epoxy. Many makers have used Devcon 2-ton, though it's not the toughest.
9. Now that the handle is affixed, you have to shape it. Use a sander, files, sand paper or whatever you have to accomplish that.
10. Finally, sharpen your blade and get to cutting.
This is a very crude, limited list of the rough steps needed to make a knife. It's likely I've even left out some important part in my haste of typing; however, it will give you the idea. Keep in mind that there are MANY ways to accomplish the same thing, so my methods aren't necessarily everyone's and vice versa. Geometry of the cutting edge is vital in performance as is the heat treatment. That's why the emphasis on using known steel and getting an accurate heat treatment.
I hope this gets you started with some good search topics. Read what you can, and visit nearby makers to learn from them. Soak up the information, and learn from your mistakes. And HAVE FUN!!!
--nathan
). I started on a Grizzly 2x72" (I still use it all the time) which runs in the $600 range. Coote's also run in that range. If you can wait a while, there's a new grinder being worked on my Tracy Mickley and David from Great Lakes Water Jet that's going to be a nice system. 
. It's hard to go wrong with one. If you're industrious, you should search for the NWG (No-Weld Grinder). Tracy sells them on his site (