OK, this isn't really a DIY as it's more just a tip of what you could do.. you've probably seen it before because it isn't my own creation or anything but I can tell you how I made one of these headbands:
First of all you take two or more (I've got the 3 primaries..) strings of cotton (or some other fabric), all the same length. Remember that the more strings you use, the thicker the headband will be.
The literal translation for the method I've used here would be finger hooking but I don't know what it's really called.
1. Tie the strings together by making a loop at one of the ends.
2. Put your finger (best to use your forefinger of you none-writing hand) through the loop.
3. Wind the strings on the shorter end around your finger once, without tie-ing them together.
4. If you did it the right way you're supposed to have two loops around your finger now. So pull the back one (the tied one) over the other one and off your finger and pull it tight.
If you do the same thing over and over again, I hope it'll work for you. If not, I'll try to make a video someday. Good luck =)
At the end, tie the end together and there! You've (probably..) got a headband.
Note: You could also try to braid it normally, but for me it came out looking a bit worse.