This type of stencil is handmade from contact paper. Which, if you don't know, is roughly similar to wall paper. Major differences are that this is removable and it isn't used to cover walls. Most people use it to line shelves and drawers. It comes in a variety of colors and textures, including clear. You could use a dark color for stencil-making so that it's easier to see against whatever it is you're stenciling on, but it requires an extra step or two. I got clear for two reasons: one, it was one of the cheapest; and two, even though it has paper backing, you can still see mostly through it unpeeled, which makes for easy tracing.
The first step is to get the images you want to make a stencil out of. This can be a lot trickier than it sounds if you have to make it yourself. You can do a Google image search of the design you're looking for and add "stencil" to the parameters. You will probably get a decent amount of pumpkin carving designs in the batch. However, if you can't find what you're looking for, you might have to Photoshop a black and white version of whatever it is you're doing. There's a lot that goes into that, steps and rules and whatnot. This is a tutorial on someone else's site, on how to do just that. Too much to go into here. 