A fine question with some answers!

You need a handhold to position and put pressure on the top of your spindle, a spindle to spin in your hearthboard to create the friction leading to an ember, a hearthboard or equivalent to contain a socket or equivalent in which the spindle bottom spins, a shallow curved bow piece, and a bow cord to work back and forth spinning the spindle.

It is nice to have some relatively flat pieces for the hearthboard and handhold. Among other methods which must exist given the ingenuity of man, you can find a tree with a dry branch about 4-5 inches in diameter fairly close to the ground, use a rock edge to score a groove on the bottom of the branch a couple feet from the trunk, score a second groove on the top of the branch next to the trunk, break the branch straight down however you can, and at the broken end of the branch you will have relatively flat, sharp pieces of wood free from the tree and near the trunk a second such piece still attached to the tree. Break the second piece off. Choose one as a handhold and one as a hearthboard. Use a rock point to start sockets in each piece, or use naturally ocurring cracks and let the action of the spindle create socket-equivalents.

Try to find pieces of branches that do not need much if any work to use as a bow and as a spindle. You know, a slightly curved branch for a bow and a pretty straight piece about thumb thick for the spindle. Use rock edges and abrasive rock surfaces to shape notches or grooves on the bow to attach a bow string and to put a sharper top point and rounder bottom point on the spindle.

Typically the harder part is to find material to make good cordage. You pretty much need experience finding and processing plants for this. There are many possibilities: certain bark, dogbane, milkweed, stinging nettle, yucca and its relative, and on and on. You need to use good technique to carefully make a strong, multi-stranded bow string.

Now you have a bow-drill set.

This is an exercise done in many survival training and primitive technology training sessions.