While I don't like to recommend that people go to AVS Forum for much of anything, they do have some links in the screens forum -> sub forum DIY screens that links to a bunch of different ways to make a screen yourself.
This thread specifically has all the links:
http://www.avsforum.com/avs-vb/showthread.php?t=646534
This is the method that I used when making a screen:
http://www.eldamar.net/house/ht/screenHowTo.html
Let me be very specific: DO NOT IGNORE THE CENTER STRUT! DO NOT IGNORE THE DIAGONAL STRUTS!
The size of fixed frame screens and the tendency of wood to bend means that when you stretch the screen material (like a canvas) onto the frame, the without proper support the frame will sag. In fact, even installing the fabric will allow you to feel how much flex is there.
I added corner brackets (steel L brackets) to make the joints stronger and less likely to contort, and I did not put on the riser piece that is shown in the above link. If I were to do it again, I would add that 1/4" riser to create a perfectly floating screen.
For a border, I used 3" or 4" baseboards from Home Depot. I wrapped them in velvet (not fake stuff) and then put them together will small L brackets and put that on TOP of the finished screen.
Total time for the project: About 8 hours or so and putting the fabric on was definitely the most difficult part. Especially the velvet.