Alvenh sent in this site on how to make your own hardcover book. This isn't a project you can make in an hour, but in the end you should have a nice book that will last for generations. Just make sure you use archival paper and glue!
Using materials from local dollars stores and leftovers from art projects, I was able to make a hardcover book that was both attractive in appearance and functional in organizing loose sheets of paper. The techniques described here can be used bind a variety of printed material.
Read more on How to Make a Hardcover Book
Related:
DIY Bookbinding
http://blog.makezine.com/archive/2008/06/how_to_make_a_hardcover_b.html