I'm not an expert on power supplies, but this one shouldn't be too hard if it is just for some kind of home project or whatever.
Note that if you are designing a real power supply for a real product that has to get regulatory approval, then you may need expert advice.
The simplest way to build a power supply is to just use a transformer (put a fuse or two on the AC side of it), a bridge rectifier, some capacitors, and an LM317 (or something similar) with a big heatsink, and maybe another capacitor at the output.
Choosing the transformer voltage is a bit tricky. If it is too low, then the regulator will drop out of regulation and the output will ripple. If it is too high, then the regulator will dissipate too much power, and overheat. You might try a nominal 12 Volt transformer for a 9 Volt regulator.
Choosing capacitor values is a bit tricky, too. The bigger they are, the more they force the transformer into a low duty-cycle, high-current mode of operation. But if you don't have enough capacitor, then the Voltage will dip too low during the low part of the cycle, and the regulator will drop out.
Have fun.
--Mac