it seems that you have not played a death knight on live, or it has been quite some time, hehe =)
death knights do indeed make their rune weapons. there are some already existing incredibly powerful ones that were made by earlier death knights or other magical entities capable of using runes, but the first quest that you do as a death knight in game is to learn runeforging to turn your weapons into runeblades. this is how, for example, a troll sword from Throne of Thunder can be converted into a rune blade for the death knight to use