I made this lampshade from:
A couple old lampshades,
Reynolds Parchment Paper,
staples,
hot glue,
a sheet of acrylic from an old framed poster,
and LOTS of time wrapping, stapling, and gluing in front of the tv.
I found a couple lampshades at a Goodwill-type store that had wire hoops the size I wanted. One of them also had the mesh covering I was looking for. You could also use burlap and stiffen it with fabric stiffener so it provides the needed support. Any fabric or craft store should have fabric stiffener. It's really easy to use.
Once I took apart both lampshades, I was left with a sheet of meshing and the two metal hoops. One of the hoops had the spider attachment fitting.
After cutting the meshing to size, I used a needle and thread to attach the mesh to the two hoops. Because the meshing was stiff, it was easy to assemble everything.
Over several evenings I created the flower-type cones from rectangles I cut from the parchment paper and a stapler.
I used long nose pliers to bend some of the staples into right angles so they hooked into the mesh. This provided more for the glue to attach to giving better support to each cone. For each stapled cone, I added a dab of hot glue than inserted it partially through the mesh.
Finally, I cut the piece of old piece of acrylic from the framed poster to size, then made it opaque with frost spray paint. I think that I could have achieved the diffuse look by sanding the acrylic sheet.
I drilled a hole in the middle then attached it with a lamp finial that I bought at Lowes. The hardest part of this whole thing was finding the long pipe with the right size threading to fit the finial. You could skip this part and just attach the acrylic sheet to the bottom of the shade by drilling a few small holes in it and sewing it on in a few places, leaving it tied with a ribbon, so you can take it off to change the bulb easily.
Bottom line: Totally DIY and a fun project!