Do two things. First go to
www.elliscustomknifeworks.com and look at the forge gallery to get an idea what other people have built. You can also check out materials you will need.
Second, do a search of this forum for old threads on building forges. Guys in here have been doing it for years, and have posted alot of really good ideas.
My forge is made with a propane tank shell. Its just about the perfect shape for starting out a knifemakers forge. The fact that its round, makes it easy to get the flame to swirl inside and heat it evenly. And the tank wall is about the right thickness where you can cut it easily, but its not so thin that its hard to weld on if you need to.
My first forge is posted here:
http://www.bladeforums.com/forums/showthread.php?t=308343
Plans for the burner are also included.
That set up worked really well for me for a couple years. I have recently rebuilt it and made a horizontal set up that I like better, but haven't had a chance to get pictures of it all yet. The horizontal set up was harder to make because I made a door for the end so I could fit larger projects into it, and that took a lot more welding, but it really isn't too difficult.
I also changed the design of my burner. I actually made 2 small burners for the new forge instead of one large one. If I get a chance I'll draw up theplans for them too. They use an inflation needle (like you use to blow up a basketball) for an orifice and it looks like its going to work out pretty well.