I'm using SharePoint 2007. I have created Custom list. On that list I need to create read-only view.
There's no such thing as read only view. You can remove rights to edit items from users so they will not be able to open items for edit and SharePoint will remove all interface for editing items. And you cannot disallow users to change current view. And remember of Access view.
Anyway if you still want to do it I can suggest to use DataViewWebPart and manually delete any editing capabilities. And you don't have to create it from scratch - you can convert traditional ListViewWebPart connected to your desired list into the DahaViewWebPart in a few clicks.