Things you need:
Eye primer (you don't need it, but it's great for keeping shadow in place especially if you have oily skin ;)
2 Shadows: One light, one darker
Eyeliner
Mascara
Here's How (courtesy of www.about.com):
1. Prep the lid. The key to keeping eye shadow from melting into your eyelid crease as the day goes on is to kept eyelids oil-free. To do this start with an eye shadow base. Try MAC's 'paint' on lids before shadow application or Fresh Freshface Perfecting Eye Primer.
2. Apply eyeliner. If you're going for a typical black, brown or gray smoky eye, apply liner in one of those colors above the upper lash line, drawing line thicker in the middle of eye. If your opting for a jewel-toned eye (violet makes a gorgeous smoky eye), line eyes with a purple, blue or deep green liner.
3. Blend in color on bottom lashes For color on the bottom (a key smokey eye look) you'll want a lighter eyeliner & the key is to 'smudge it'. You can also apply a bit of shadow to get full smudge effect.
4. Apply light base color Again, the key to a smoky eye is pairing a lighter base with the darker hue. I prefer a nice cream shade for my base. Sweep a light, shimmery shadow over the lids to your browbone.
5. Blend in darker color, but keep dark color below the crease. Now that you have the base & eyeliner on, it's time to get the smoky effect. You need a darker eyeshadow shade. Using an eyeshadow brush blend in color starting at your lash line & blending up. Make sure to blend color into the lash line so the eye liner disappears. Stop deep color at crease.
6. Doublecheck your work Make sure eyes match & blend color with a Q-tip if need be.
7. Finish with several coats of volumizing mascara. Tried & true mascaras include DiorShow Mascara (I have this and LOVE IT!) & L'Oreal Paris Volume Shocking Mascara.