This is a classic - to build one, you need a citrus - any will work, this for example is an orange - and three (ideally zinc plated) iron things (screws, nails, or in this case some clothespin springs), and three copper things (copper foil used here).
Use a knife to make a pair of reasonably close (1/2 to 1" apart) slits in the fruit slices. Put one copper and one iron item in each slit. Then connect the copper tab on the first slice to the iron item on the second. Connect the copper tab on the second slice to the iron thing on the third slice.
You should now measure about 1.9 volts across the two terminals (the iron item on the first slice and the copper item on the third slice).
If you have a problem, recheck that everything has stayed in the citrus slices and that the clip leads are correctly connected.
Finally, connect a LED between the terminals.
In the picture, the yellow lead is the negative lead (iron item on slice #1). This connects to the shorter of the two leads on the LED (the negative terminal).
The white lead in the photo is the positive lead. Connect it to the copper strip on slice #3 and to the longer lead on the LED.
If everything is done correctly, the LED should light up - really, really faintly. To see ours we had to go to a darkened room and look. It was clearly lit up, yet faint.
If your diode does not light up, you may have the diode backwards. Try switching the leads on the diode. If that does not work, try a different diode (some need more than 1.9V to turn on).
My son had this to say about all this: "I want to make orange juice, and build a bigger battery so we can make a heater". I do not know how many of these we would need to power a heater, but the number is large!