Begin by folding the paper both vertically and horizontally, crease and unfold. Fold the bottom half to the center crease and unfold again. Halve the bottom section again by folding it to the nearest crease. Do not unfold.
Fold the paper in half, rotate the paper to a landscape position, and fold both the right and left side to the center. Crease both sides and unfold. There should be four panels now. Take the middle left panel and fold it in half diagonally. There should now be a loose corner at the bottom of the center of the paper. Take only the top layer of this corner, and peel it back to opposite edge. Fold the right panel in half on a diagonal, and then fold the far right corner onto the bottom right corner. Create a crease along the top and bottom right corners by folding the right portion over them. Do the same thing for the top left corner and bottom right corner. Unfold these two creases and stand them up.
To assemble the pyramid, simply insert each tip into the pockets of the others.