You need two bundles of straw to make a hay bed. IIRC you need to click on one bundle to spread it out, then drag and drop another bundle of straw onto it. If that doesn't work, try two bundles of straw (click on the one spread out on the ground to re-bundle it). Once the hay bed it created on the ground it can not be moved (though you can also create it inside your inventory, or in a container).
