Yup, I said '07, as in 2007, as in the year that begins about 365 days from now.
Here's the simple strategy:
Put $20 away in a piggy bank or a bank account or a treasure chest buried in your back yard EVERY DAY THIS YEAR. By 1/1/07 you should have about $7300.
$7300 is plenty to shoot a no-budget/ultra-low budget indie DV feature with. If you need tips on working on such a budget check out some of Rick Schmidt's low budget filmmaking books, such as Extreme DV Filmmaking At Used Car Prices. Extreme DV has tips on making a DV feature for under $3,000.
So what are you going to do until January 1, '07, until you save up that $7300? Hone your craft. Figure out how to write your scripts or how to improve your screenwriting skills. Figure out how to direct better. Figure out how to shoot and light. Master sound recording. Master editing, learn Final Cut Express, Final Cut Pro, Premiere, etc. really well. Learn graphic design, try it out. Learn web design, there are cheap & easy ways to make a good web site. Research self-distribution and other distribution options, companies, individuals that you may need to connect with on that front. Take one or more acting classes, learn about what your actors have to go through so that you can become a better director. Start a blog, a sure way to generate some press for your career and projects. Finish up a bunch of scripts. Make some shorts, make them excellent without using a lot of money (and definitely do not pull from your savings for the '07 feature).
Before you know it, it will be January 1, 2007. Then if you did well on your save-$20-a day project you'll have the $s you need to start production. And if you used your 2006 to refine your skills, the money you saved in '06 will be put to good use in '07.
Good luck. Do things and things will get done.