Books and courses on research methods, statistics, or both, often necessarily focus on one topic at a time. This compartmentalized approach prevents students from seeing the big picture. To address this shortcoming, I developed an exercise through which students experience the whole research process in a single class period. From posing a question, through devising a method, collecting and analyzing data, to writing the report, students conduct all aspects of a basic research project. After the experience, students reported a significant increase in their understanding of the research process. In addition, students recommended using the exercise in future classes and at other universities. I end by discussing various ways that the exercise can be adapted to other class situations and content areas.