Start with a thin strip of cardstock. (You can buy colored cardstock, but I choose to use white and color my own.)

Note: Generally, the width of the strip is about how big the star will be.

1 & 2: Make a knot at the top of the strip as shown.
3: Flatten, making sure the edges are nice and even.
4: Tuck in the top flap to form a pentagon shape at the top of your strip of paper.

Wrap the pentagon with the excess strip, making sure to keep it tight and the edges even.
Tuck the end in as shown. (You may have to cut/tear a bit off the end.)

Using your fingernails, push gently on the edges to make them collapse in.

Note: If you don't have fingernails, this step can be very difficult!

And you're done! If it doesn't come out perfectly, try again. It can be tricky at first, but with practice you'll get much better.