There is increasing emphasis on teaching science as a way of knowing about the natural world. Central to this effort is fostering an understanding of the differences between facts, laws, and theories. Among these, the concept of a scientific theory is typically the most challenging to teach. Many students have a preconceived, colloquial notion of theories as purely speculative explanations that can be legitimately assessed by cursory examination. The exercise presented here engages students in the process of theory development and testing, thus clarifying the central role that theories play in science.