How do you make the sauce that is underneath Flan?
That is simply caramelized sugar that coats the dish before the custard is poured in for baking.  As the flan is chilled, the moisture from the custard liquefies the caramelized sugar and results in the sauce.

If you're wanting to make it for other desserts and aren't making flan, then simply caramelize sugar and then add water to it.  Be careful as the steam can easily burn you if you're standing over it.  The sugar will seize up and then as it continues to cook the crytallized caramelized sugar will liquefy.  You will then have caramelized sugar syrup.