A movie's budget largely depends on the script. So work with a writer on creating a script driven by characters and dialogue rather than special effects and action sequences, and keep the cast minimal. It is also smart to avoid movies set in other times. Write the script in modern times to avoid purchasing costumes and background set pieces reflecting other time periods.
Casting actors is the next step. Since you are working on a limited budget, you are not going to want to pay people to act in your movies. Find friends with acting talent, friends of friends, or student actors willing to act for free just to get a credit in the movie. Once you've done this, you've officially cast your movie for free.
On a low budget, you may not be able to afford expensive lighting and sound equipment, or a full crew to make your movie. But you will obviously need a video camera and tapes. Tape is much cheaper, easier to work with and more efficient than film. Film itself is expensive, plus you'd need a camera that shoots on film, and getting film developed and processed can be costly and time consuming. If you do not own a camera, or know anyone who owns a camera, this may be where you have to spend some money. Before you do, ask around. See if you have a friend of a friend of a friend who has a nice camera they are willing to lend to you.
On a low budget, odds are you won't be able to afford fancy sets on sound stages. So when you are scouting locations, find places in your home, friends' homes, your school, outside, or wherever you can shoot for free. Just ask for permission if you are shooting on property you do not own (most people are happy to help people making small, independent movies).
Create a shot list. Figure out exactly what shots you will need for each scene in order to be prepared when you show up on set with your cast and crew. Nobody wants to work with a director who seems to be unprepared and does not know what he is doing.
Put together a schedule. Work with your actors and crew to nail down a schedule to shoot the movie as quickly and efficiently as possible.
Roll camera! You've got your script complete, your volunteer actors, your borrowed camera, your locations secured and a solid schedule. Time to shoot. When shooting, you may find situations where you need a prop that you do not have. Making a movie is almost never free, so you may have to put some money aside to pay for various items that you know you will need as you go along.
Once you have the footage shot, work on your own or with a friend to cut the movie together rather than hiring an editor. Most professional movies are cut on Mac computers with Final Cut Pro or Avid. These programs can be pricey, but are well worth it if you want the movie to look professional. If it is out of your budget you can use iMovie or Windows Movie Maker. After hours and hours of cutting footage together, you're done! The hard work has paid off and you've successfully completed an independent, low-budget, feature film. Congratulations!
There's not much sense in keeping a project to yourself if you want to become a film maker. This is the other part where you may have to spend some money, but the pay off could be well worth it. Research various film festivals and create a list of where to submit your film. If it gets selected, awesome! If not, try again and again and again. Another great way to get exposure is to put your movie on the web. Tell friends relatives, strangers, or whoever you want to that they can watch it for free. The more eyes you have viewing your work, the better chance you have of getting a big break. Good luck!