take a bowl, pour in some water, and leave it out in the moonlight. that's the basic way to make it.
myself, i get a cup of water, put it in a bowl, and leave it in the moonlight for one month, make sure you cover it before any sunlight touches it, or it will start to become sun water. after the month, bottle it and keep it in a cool dry place. if sunlight touches it then it will be fine, unless you leave it out in the sun for a couple days.
I get my moon water from Esbats. When a full moon is up, I get a bottle or bowl of water. I then, raise the water facing the moon and say a blessing to the Goddess of the moon. I then bless the water. And the water is now blessed with the energy of the moon. That's how I do it. You can do it however you want!
Moon water holds the characteristics of the moon. Anything you have absorb moon light will be empowered by the moon and therefore share its energy. We can't just pop the moon out of the sky and touch it. By allowing items to absorb moonlight, we in effect can take the moon with us for use of her properties. Water is associated with the moon due to its deep relationship with it. It pulls the tides and also the water within us (which is how it effects us).
You can drink moon water or you can use it to bless or consecrate, especially items used in divination. Washing your ritual clothes in moon water is also a fantastic idea. People used to wash their clothes in the stream under a full moon to empower the clothes with protection.
The moon is subtle though, and as was said, you don't want sunlight or even harsh bright light to touch the water. Full moons are best and use spring water not tap water. Wrap it up in a black cloth before the sun rises and if you haven't finished it before the next full moon, put it out again the next month.
Here is some info on the moon
http://www.whats-your-sign.com/symbolic-moon-facts.html
