The Collaborative Biodiesel Tutorial
"What is biodiesel? Simply put, it is diesel fuel that is made from vegetable oil. It will run in any unmodified diesel engine. It has many advantages over petroleum diesel fuel such as: 1) It burns cleaner 2) It has a higher cetane rating (less knocking) 3) It has better lubricity 4) You can make it yourself from used vegetable oil (a waste product) often for less than the cost of petroleum diesel."
How to Make Your First Batch of Biodiesel: http://www.dangerouslaboratories.org/biodiesel.html (This recipe is for "new" oil only.)
For a "foolproof" recipe and explanation, try: http://www.journeytoforever.org/biodiesel_aleksnew.html
And don't forget to carefully adhere to the process outlined, as the handling of chemicals carries a risk. Before you begin, consult the Biodiesel Handling and Use Guidelines, located here: http://www.nrel.gov/vehiclesandfuels/npbf/pdfs/tp36182.pdf