This is the definitive thread on making your own black powder:
http://castboolits.gunloads.com/showthread.php?103852-My-homemade-black-powder
Be aware that the thread is 155 pages long currently, and there are a ton of people who jump in without having read any of the preceding pages to lecture you on how you are going to blow yourself up, etc. etc. etc.
The thread starts off with the "screen mesh" process, but finally winds up talking about corned powder, which is how commercial BP is made.
As this thread indicates, there are multiple ways to arrive at something that goes bang.
But to make BP, all you need is charcoal, sulfur, potassium nitrate, and water.
The ingredients are milled together, and then crushed under high pressure. This makes cake. This cake is then busted up and ground, and the grindings are sifted through screens to get different granulation sizes of finished BP. Fines can be recycled back to the beginning of the process.
Commercial powder is "glazed" with graphite. This is probably done to ease metering of the product, and also probably makes it less sensitive to static discharge, since graphite is a good conductor of electricity. But in the 1800s the British Empire specifically prohibited glazing of black powder with graphite, as I recall reading someplace.
Steve