You will need 5 pieces of oragami paper. Any size will do.
Fold each paper in half and then into quarters.
Now fold each into eighths, by folding down the open corner diagonally.
You should end up with 5 triangles.
Open one of the open corners, and slip the open corner of another piece inside. The two pieces will now share a fold. This step isn't as complicated as it might sound -- just fiddle around with the papers for a while until you get something that looks like the picture below.
Keep adding pieces in this way. When you get to the fifth piece, insert the open corners of the first piece into the open corners of the fifth to close up the star. You can add a dab of glue to the open corners to keep them from flapping around.