The following circuit is the answer to the problem. This circuit can give +5V output at about 150 mA current, but it can be increased to 1 A when good cooling is added to 7805 regulator chip. The circuit has overload and thermal protection. The capacitors must have enough high voltage rating to safely handle the input voltage feed to circuit. The circuit is very easy to build for example into a piece of veroboard.
Circuit diagram:
5 Volt DC Power Supply Circuit Diagram