Dave Wiltshire provides great tying instructions for this fly on his site River Fly Box, http://www.riverflybox.co.uk/cdcdun.html, it is well worth taking a look. Dave has developed many variants of this fly and I make no excuse for following his pattern.
One thing I would add is that it is essential to use good quality CDC, it makes tying so much easier. Marc Petitjean's CDC is available from several sources and the Swiss CDC from Phil Holding at http://www.flytyingboutique.com/ is superb, coming in a great range of colours. For anyone who has not seen Phil's site it is well worth a look, a great range of excellent materials.