I had the same issue! I googled it a while back ago and found a great video tutorial on youtube. The video gave me a place to start and the basics for it, but I found what works for me. I played around with the make up I had and bought an angled brush from MAC and some black eyeshadow, some under wear eye shadow from Orgins and I've perfected the look!

I think the best is to read up on steps and see what works best for you. There are a lot of different types of "smokey eyes" and a lot of information out there on how to achieve it.