For starters, you need a suitable transformer. If you are in the USA, you can get a transformer from your local Radio Shack store. You'll also need a power cord and project enclosure box.
The transformer will need to have a suitable voltage and current rating. You should use a 1A fuse between mains power and the transformer. You can add a switch after the fuse, if you would like.
Then you will need to rectify the AC into rippled DC using diodes or a rectifier bridge.
Rather than purchasing a transformer and cord, you could use a "wall wart" plug supply. You probably have some of these around the house already. They generally output a rippled DC voltage.
You will need (a) large filter capacitor(s) to remove most of the ripple from the DC.
Then you will need some sort of voltage regulator. A 7805 is an easy-to-use 5v regulator IC. It has three terminals; IN, OUT, and GND. You will need a heat sink for it.
You will also need an 0.33uF cap on the input of the 7805 to ground, and a 0.1uF cap from the output to ground. If you do not include these last two capacitors, the regulator might oscillate at high frequency.