How do you make soy milk?

I was at my friend's place the other night, and her auntie was making soy milk. The way in which it was made was with a bought soy milk maker. It was a machine specifically designed for the purpose of making soy milk from the bean.
I don't have one at home, but I'd like to have a go at making it. Does anyone make soy milk themselves, and if you do, how do you go about making it?
To buy a soy milk maker, is it one of those appliances where you get what you pay for? Or are they about the same with any given price?