Sorry for the brief reply, but I was in the process of leaving work
As for how to do it - I would say it's near impossible.
Assume 10 turns per volt, then you need 2200 turns per winding, and two windings.
Go to the grocery shop and buy a bagel - now try and wind 4400 turns of wire through and round the bagel
It's a job for a specialist machine, and I can't even understand how they work?.
As already suggested, a conventional transformer is far easier to do - but still pretty tricky due to the high voltages and resulting high number of turns required.
What are you wanting to do with the transformer?, what power do you require?, and why can't you buy one?.
Another option is 'DIY transformers' - these come with a pre-wound mains primary, and you wind the secondary yourself.