I spotted this article on the Wired website, which tells you how to go about doing just that.
Frightened off by the high cost of an off-the-shelf solution, the article's author, Dave Banks, improvised. Co-opting a projector from work, and investing in some suitable speakers, he then decided to make his own screen (pictured), to save money on the most expensive part of the set-up.
The project seems to have been a great success, and Dave not only shows how he built the screen, but the mistakes he made, and how he'd avoid them if he did it all over again.


