First, follow the instructions at https://sites.google.com/view/legoponyinstructions-com/home to build the body. However, instead of using a 1x4 plate on the sides, use a 1x1 plate and a 2x2 plate, as shown below. This will make room for the wings. Stop following those instructions when you get to the head, because Derpy's head is different, and I'll show you how to build it here.
Additional notes: If you want to be more accurate to the cartoon, use light yellow pieces for the mane and tail. But light yellow is expensive and regular yellow will work just fine, so you can use regular yellow if you want (that's what I did).