Here's a really easy walk-through of how to make yogurt (and no, you don't really need one of those yogurt makers):
There are more meticulous and complicated methods around but this one does the job. They use a handheld electric blender, which I for one don't have, but gently stirring the yogurt starter into the lukewarm milk with a whisk or fork will do just fine.
Now, there are at least three damn good reasons to make your own yogurt: