I want to make this,give me some information.

You don't make them, you buy them but they are somewhat costly for what they seem to actually be worth.

Basically all you do is make a hot air balloon: an envelope to hold air over a heat source.

I know in some places, you can buy kits to do this with a colored paper envelope. Or the site below has a description for how to make something similar on your own.

However, BE VERY AWARE of local fire regulations = you don't want to send a flaming balloon crashing into someone's house or start a wildfire, and end up in prison for it. And if you are a child, do this only under the supervision of a responsible adult. The floating lanterns is very enjoyable. You will find more information in here about floating Chinese lanterns.