Ah, another good myth from Mythbusters!! Sorry, blackalbino, you can use filtered used oil or straight "clean - first use" veg oil from the shops without any processing but due to its chemical composition and content of fatty acids it WILL clog up your engine in a very short time.
"Vegetable oil will react very similarly to diesel fuel under the conditions inside a diesel engine; i.e. when it is highly compressed, it will heat up and ignite, causing the air in the cylinder to expand, and to push the pistons, in time. If you burned straight unprocessed vegetable oil, however, the fatty acids in the oil would start to congeal and harden (coke up) on the inside of your engine as well as in your fuel injectors, eventually leading to big, expensive engine problems.
Therefore, it is necessary to process your oil to remove the fatty acids-- making the oil more similar to diesel compositionally, or to otherwise devise a system to keep your engine clean of residues from unprocessed oil."
Have a really good read of those sites, mate, and you will get the true picture.
ONE MORE WARNING: To use 100% veg oil biodiesel for longer than 4 weeks straight will cause complications to any rubber components of the engine that the fuel might come into contact with-fuel pump, hoses, o-rings, etc. These can either be replaced with steel or heavy duty rubber or.. it is always recommended to use a percentage of diesel with your homemade fuel- at least 20%.
Lastly, NOT ALL DIESEL CARS CAN USE VEG OIL BIODIESEL! Certain fuel systems/injectors/pumps should NEVER be used with veg oil biodiesel - read the references I gave you and you will find lists of those cars NOT to try it on!!!