Choose a Zener diode at the voltage you want as an output - "Vout" - note it is Reverse Biased!
R1 can be calculated exactly but generally 470 ohms should work for most voltages.
The capacitor helps to stabalise the output voltage.
Zener diodes look very similar to signal diodes. They are both made of glass, and also have a black band to denote the cathode.