You'll need a piece of heavy paper like wrapping paper, wallpaper, freezer wrap or something similar. If you want to decorate it, do it before you start to make the bag.
You'll also need a form with a rectangular or square side, to wrap the bottom around. Use a cake mix box or anything packaged in a box or you can stack two or three books together.
Besides that, you'll need tape to secure the seams. You can use glue if you prefer, but a tab of tape here and there will help hold it while the glue dries.
Place the form on the paper as if you were going to wrap it. Use the "sheet corner" wrap to close one end of the paper. This article shows the method. Go to Step 7 and click on the image to see what I mean.
Fasten the end with glue and/or tape, then secure the seam, which should be more or less centered on a flat side.
Remove the form, fold the sides and crease to resemble a brown paper bag. If you want the bag to look "store bought," fold the bottom up to resemble a paper bag and crease it, then fold about a half inch to the inside of the top.
Trim the top, make sure the seams are secure and there you have it. You can glue cord or use a hole punch to punch holes around the top to lace a cord. Add a small card or name tag to the cord.
A more frugal note: Practice with a piece of scrap paper first.