Update: Lots of folks have been asking about the fancy rainbow-colored shade in the new photo. It was made using the same techniques described in this article. The tabs are not painted; they are all recycled from cans that have factory-anodized color pull tabs. A few of them I collected myself, but most of them I scored by watching eBay for awhile. Yes, you really can get anything from eBay.
The only parts in this lamp shade are soda can “stay” tabs and the top and bottom lamp shade hoops. No wire, string, glue, or other part or fastener is required. Mine is 7″ in diameter and 8″ tall and consists of 16 rows of 34 tabs each–544 tabs in all. Shades can, of course, be made bigger or smaller as you please.