You need two plastic cups, one a bit wider than the other. And some tape. Scotch tape will do fine, I used masking tape.
When stacked, there should remain enough space between the cups (>5mm) to ensure walls thick enough.
Pour some water into the wider cup, somewhere between half and 3/4 full (No worries, you can adjust later). For an added thrill, you can add color (for cupcakes or so) to the water: colored ice!
Gently put the smaller cup inside and press it down into the water. This creates a kind of cavity that's needed. Fix the cups with the tape so that the inner cup does not touch the outer one.
Wait for a cold and freezing day (or night) and put the cups outside for a few hours. Or use your freezer.
When the water is frozen completely, remove the scotch tape and the smaller cup (pour a bit of hot water inside the small cup to get it out easily.). Remove the ice cup from the outer plastic cup.
Put a small candle into the cup and light it. Voila. Depending on the thickness of the “cup”, the weather and the candle it might live for a few hours. Ultimately, it will melt, though. Enjoy!