Heat oven to 350 degrees. Cut pumpkin into quarters, scrape out the seeds, and discard. Rub flesh with vegetable oil, and place on a baking sheet, flesh side up. Bake until soft, about 1 hour. When cool enough to handle, remove peel and put through a food mill fitted with a medium disk.
My pumpkin puree was extremely wet, I placed a sheet of parchment paper on a baking sheet, and spread the puree on it and baked it in the oven at 350 degrees for about 45 minutes, stiring it every 15 minutes. It worked like a charm.