On DevShed today there's a new tutorial showing you how to build a basic ORM layer on top of a MySQL database. It includes all the code you'll need (cut&paste-able, not as a download).
Obviously, with so many ORMs at one's disposal for free, it seems pretty pointless to develop a custom one; are we trying to reinvent the wheel? No, of course not. But if you need to create a simple application that performs a few CRUD operations on some related domain objects and don't want to climb the learning curve of a third-party library, then implementing a custom ORM might make sense. There's alos the educational aspect of the process (yes, learning one or two things never hurts).
They start you off with the creation of the "data persistence layer" (an interface first) to connect to the database, building a MySQL-specific one on top of it. Next up is the data mapper layer making things like "fetch by ID" and the insert/update/delete possible. Their simple example doesn't include anything about ORM relationships, though - just fetching simple rows.