I started with a good wipe down and sprayed the base with 2 coats of flat white paint. (I forgot to take a picture after I sprayed the base but you will see the it in the finished picture.)
I picked up a roll of jute string from Lowe's and used it to cover the lamp shade
Apply a small strip of glue every few layers just to keep it the jute in place.
Put a lightbulb in the lamp and you're done!
Lamp w/ shade -$3
Jute string - $4
Glue - already had
Spray paint - already had
Total - $7