Many pediatricians will recommend starting with rice cereal. (Here's more on my rather humorous first attempt at introducing solids to my daughter.) This, you must buy.
However, once your baby has graduated to fruits and vegetables you can make them in your own kitchen. The easiest way to do this is to clean and cut the vegetables, steam them and then puree in a food processor. You'll first want to start with things like carrots, squash, and beans. You don't need to add any salt or anything to flavor the veggies. You want your baby to learn the true taste of food so they don't become a picky eater later on. This can become a problem if your baby eats jarred baby foods that have additives like sugar and salt. It's also a good idea to start with one veggie at a time for a few days so you can make sure your baby doesn't have any allergies to it.
I've also included links where you can find step-by-step directions for making homemade baby food recipes for various fruits and vegetables.
If your baby gets bored or you're looking for other ideas, there are countless ways to make homemade baby food as is proven in Blender Baby Food: Over 125 Recipes for Healthy Homemade Meals.