I built one of these with my boys over a couple of evenings.
Instructions are at
this link. I used the 3/4 wire cloth from Rona, and used Pex tubing instead of a welded 1/4 rod for bracing. For the entrance, I traced the dimensions on a piece of cardboard first, then used it as a template to cut the shape out for the wire.
I also built one in the vein of what TreeGuy had (pic of his trap is below), just not as nice as his. I didn't do such a good job, and ended up dismantling it.
Some municipalities rent them out, too.