How do you make a birds nest?

You don't "build a nest" persay... you get a nesting box. You install the nesting box in the far corner of the cage (safer there) and let the parrots work their magic. You can get the boxes at any good Pet Store, and don't forget to put something soft for bedding (also available at said Pet Store). If you don't know what to do exactly, DON'T GET THE BOX. Raising baby parrots is a tough, demanding job. If you don't know what you're doing, stay away from it.