It is easier than it sounds. The only weird thing you have to buy is phyllo dough, in the freezer section by the puff pastry (next to the frozen waffles).
This unbelievably quick and easy recipe for this is stolen from none other than Martha herself. I tried to link to it on her website but it isn't there. So here it is from my memory:
3 T. Olive Oil
1 large onion, chopped
3 cloves garlic, minced or pressed
1 lb. baby spinach
6 oz. feta cheese
3 T. dried dill
3 T. dried parsley (or 1/4 cup chopped fresh parsley)
9 sheets phyllo dough
1/2 cup (1 stick) butter, melted
1. Preheat oven to 350. Heat olive oil in large skillet over medium heat. Add chopped onion and saute about 8 minutes or until soft. Add garlic, saute one minute longer. Gradually add spinach; saute about 5 minutes or until wilted.
2. In large bowl, beat egg and add dill, parsley and feta cheese. Add spinach mixture to bowl and mix well.
3. Butter a cookie sheet. Place one sheet of phyllo on cookie sheet and brush with melted butter. Repeat twice. (Keep damp towel on top of phyllo while you aren't using it - this keeps it from drying out and breaking.) Spread spinach-cheese mixture over phyllo. Top with 3 more sheets of buttered phyllo and roll in the edges to seal. Butter remaining 3 sheets and crumple over the top.
4. Bake for 40 minutes - spanakopita should be a deep golden-brown.
**Upon tasting this, Ken Montgomery almost died and went to heaven.