Open a crafting table
Place 1 gunpowder in the crafting grid
Add 1 dye of your choice
Optional: add extra dyes for mixed colors
Optional: add glowstone dust for a twinkle effect
Optional: add diamond for a trail effect
Optional: add a fire charge, feather, gold nugget, creeper head, skull, or any other shape modifier available in your version
Take the crafted firework star from the result slot