To make sweetened condensed milk:
The best make-your-own version is to
mix 1 cup of evaporated milk with
1-1/4 cups of sugar in a saucepan,
heat and stir until the sugar is
completely dissolved, and let cool.
If you don't have evaporated milk on
hand either, you can make your own by
slowly simmering any quantity of milk
in a pan until it reduced by 60%, and
then adding the sugar.
Source: http://www.ochef.com/125.htm
Another recipe that sounds like a lot more work and uses powdered milk: http://www.ehow.com/how_4903555_make-condensed-milk.html