The instructions are ridiculously easy, as this video at Yes Mag demonstrates. All you need is a chunk of untreated wood, a drill, some nails and wire, and a shingle for the roof. When you're finished building your bee house, try to orient it so that it faces east, as bees are stimulated by the morning sun.
(For the bee-phobic among you, note that this house is designed to attract very small bees like mason bees, which are not aggressive and don't sting. They also don't make honey, so don't worry that your bee house is going to some day get very, very sticky.)