We used to build these when we got bored on diving weekends (always sensible to have something to fall back on!).
You need lots of sheets of tissue paper, some tinfoil and preferably an alloy drinks can and some fuel (petrol is easy to get, but you should try buying meths in the UK!), some cotton wool and some fuse wire.
Take one sheet and cut it diagonally from corner to opposite corner.
Use some paper stick glue (Prittstick or similar) to stick these bits to the short sides of an uncut sheet.
Repeat until you get really bored.
Start sticking the sides together and fold each sheet carefully once it is attached to its neighbour. Leave a slight unstuck bit at one end all the way round. The last join is tricky...
Depending on how big your ballon is you can inflate it with either a fan heater or a hairdryer. If it's big enough you can stand inside for the last bit.
Attach a strip of tinfoil (aluminium foil) round the lower edge, about 6 inches wide. You might need to run a reincorcing wire loop round the edge to keep it open (just fold the foil over the wire).
Make up a small cradle to hold the cotton wool and fuel - cutting off the bottom of a soft drink can is ideal. Suspend this from the foil strip using some more wire.
Go outside and inflate it. Usually best done by running an extension cable from your house/garage for the hairdryer/heater, but you can use a small camping gas stove - just be very careful with the flame.
These are best launched at dusk when the winds are light.
If is does go pear shaped then the good news is that the tissue paper burns incredibly quickly