Here's a couple different methods for making your own puree for pumpkin pies. Look for small sugar pumpkins, or "pie pumpkins." The large jack-o-lantern types are too stringy and watery.
First, split the pumpkin in half and scrape out seeds and strings with a spoon. Reserve the seeds for toasting!
Method 1: Spray the two halves with baking spray oil, then put them upside down in a baking dish. Bake at 350ºF for about an hour, depending on the size of your pumpkin, until the flesh inside is very soft. This can take up to 90 minutes. Scrape the flesh out of the halves and run through a food processor until smooth.
Method 2: Cut the cleaned pumpkin into quarters and place them pumpkin side up, rind down, in a baking dish. Bake at 350ºF for 45-60 minutes. Scrape off the flesh and whiz through a food processor until smooth.
The first method gives a slightly softer texture, while the second gives a darker, more roasted flavor to the pumpkin, which I prefer, personally.
After the the pumpkin has been pureed, it will stay good in the fridge for up to three days. It can also be frozen for several months.