Some hints:
You're going to need one state for each possible subset of Σ so that you can keep track of which characters you've seen so far.
For each subset of Σ, you'll need another state to represent "this set of characters, where the last character read happened to be in the set."
I'll leave the rest of the details to you and you'll have to think about how to formally prove this is correct.
Hope this helps!