You will need:
1 bowl
1 wire mesh strainer
Cheesecloth
Plain Yogurt - either homemade (see this post) or store bought. (I suppose you could do this with flavored yogurt too, I just haven't tried it.)
Place your wire mesh strainer over a bowl.
Line the strainer with cheesecloth - double thickness. 
Fill the cheesecloth/strainer with yogurt. In this photo tutorial, I used about 2 cups.
Let sit until the bottom of the glass bowl fills with liquid (this liquid is called Whey and can be used in many other recipes, or you can throw it out, it's up to you.) the yogurt will sit for minimum of one hour.
You can scrape the bottom of the cheese cloth and redistribute the yogurt if you want to attempt to get more liquid out.
Pick up bag and squeeze (lightly) remaining liquid out of yogurt.
It should be very thick, in fact, it should be thick enough that a spoon will stand up in it without assistance.
Transfer to container and keep in the fridge for up to 3 weeks.
You can add your own fresh fruit or honey when serving for a different flavor.
