I made this loom using scraps and supplies laying around at work. The long board I used is about 3 inches wide, 3/4 inches high, and 18 inches long - just about any size board will work.
I used safety pins nailed to the short ends of the board to secure the warp threads. You will need to find a nail that fits through the whole of the pin but the head of the nail does not fit through. Nail the pin down, but not too tightly - it's easier to use when it moves a little.
The wire I used is brass wire approximately 20 gauge (I'm not really sure) - you want the wire to be easy to coil but not so soft it doesn't keep it's shape and spring. I used very small tacks to nail the coils down - you don't want a long nail that sticks through the other side of your loom. I bent the coils so they would stand up about an inch or two from the loom surface.
You could measure your warp threads to be just big enough to knot the ends and fill the loom, or you could make them longer and tie the far end with a knot that is easy to untie. When you reach the end of weaving space, you can untie the end and lengthen the warp, and secure both ends with the safety pins again. The end that has been woven will get the pin right through the woven fabric and the far end will have a knot again.
I would love to see if anyone makes their own version of this! It's so much fun to see what we can make with scraps and time - it's all about creative problem solving!!