You build one with the following ingredients:
- mouse click
- $40
I know it's not what you asked, but IMO building a jtag programmer is a big time waster. I used to do that myself, but these days there are enough cheap alternatives that DIY doesn't make much sense anymore.
The time you spend figuring out why the hell the trivial jtag thing is not working is better spent on figuring out why the hell your cool fpga design is not working. ;-)
Since your profile says you're from Denmark, so maybe this one is of interest:
**broken link removed**
hope that helps!