Here's a link (and a site) with great projects:
http://dollarstorecrafts.com/2009/11/ruffly-umbrella/
The instructions say buy a shower liner, which I did, but I've also purchased plastic tablecloths at a party supply store, where there are tons of colors to choose from. I made three umbrellas last year, and everyone oohed and aahed. I have four umbrellas handy for this year and need to get started!