Be sure to use a pumpkin made for eating, such as a pie pumpkin, sugar baby, or cheese pumpkin. Most winter squashes make good "pumpkin" purée as well. Pumpkins used for jack-o-lanterns are meant only for carving; they are flavorless and watery.
Preheat the oven to 400ºF. Line a rimmed baking sheet with parchment paper. Cut the pumpkin in half from top to bottom. If the pumpkin weighs more than 4 pounds, cut it into large wedges. Scoop out and discard the seeds. Place the pieces cut-side down on the prepared baking sheet. Roast until it is easily pierced with a knife, 45 to 90 minutes depending on the size and type of pumpkin. Let cool enough to handle and then scoop the flesh from the shells.
Purée the flesh by running it through a food mill or in a food processor. The purée must have the thick, firm consistency of canned pumpkin. If it is too watery, spoon it into a sieve lined with a couple of layers of white paper towels or a large coffee filter set over a bowl. Press a piece of plastic wrap onto the surface of the purée. Refrigerate overnight. Discard the collected liquid.