With a whisk or mixer running at low speed, gradually add the oil in a very slow, steady stream. If you add the oil slowly enough, an emulsion will form. (Your mayonnaise will thicken up.)
If your mayonnaise separates and does not thicken, you can rescue it! In a clean container with a clean whisk, mix 1/2 Tbsp cold water with another egg yolk. Add your (failed?) mayonnaise/oil mixture very, very slowly as you run the mixer or blender at low speed. It should thicken up for you.