@dfoster85 - They are super easy. I actually did one for myself for a Halloween costume last year. You can look it up in Google and find a bunch of different sets of directions.
Basically, you use poster board for the hat itself. You can cover the poster board with fabric if you want to get fancy, but you don't really have to. You can decorate it with felt, fabric, or just plain construction paper, and you can get some tulle for a veil at a fabric store.
I used a ribbon tie under the chin for mine, but for a little girl, you probably want to use elastic. You can make the whole thing with glue or even staples - no need to sew anything. I'm sure your little girl will love it!