The first thing you'll need is a baking-size pumpkin (you can use an acorn squash for this project too). Here's a hint -- before you buy a pumpkin from the pumpkin patch, check your grocery store's produce section. If you don't want to use a lot of wax, buy the mini-pumpkins instead - they're much smaller, and just as easy to work with.
Unless you already have candle-making equipment and paraffin wax, the other thing you'll need to get is some soy wax chips. These are inexpensive, melt easily and safely in your microwave, and burn cleaner than paraffin wax. If you already have paraffin, you can use that for this project, but you'll need to melt it over a double burner instead. If you want to add color or scent, you'll need some of that too.
Finally, you'll need a wick. You can either make your own by coating a string in wax, or you can buy a pre-made wick at any craft or hobby store. The pre-made ones typically have a small metal disc at the bottom for the base.
Assemble all your supplies, and cut the top off the pumpkin. Scoop out the goop inside (you can save the seeds for roasting later) and scrape the interior clean. A melon-baller actually works really well for this step.