Metal screen. This is what creates the star effect. The finer the screen, the better, as it will cause less of a softening effect in your photos. Also, the metal screen does indeed need to be made of metal, and at that, it has to be shiny. If the metal screen is rusty at all, you can still use it once you've cleaned it with some rust remover (check under the sink or in the garage – you might be surprised) but metal screens are easy enough to come by that it's probably not worth your while.
The best place to get metal screens? Windows. If you or someone you know has recently replaced their windows, you can easily cut out a small portion of the old screens. Otherwise, try checking out secondhand stores for old sifters, especially ones used for very fine confectionery suger. Metal screens may also be purchased quite cheaply at hardware stores in a variety of levels of fineness.
Utility Knife. You'll need something to cut the metal screen with. Wire cutters or even good scissors might also do.
Filter Mount. There are a variety of techniques that you can use to make a DIY filter mount for this filter. This article outlines a number of ideas, including materials needed, construction process, variations, and the advantages and disadvantages of each.
Out of the ones within this article, I would recommend using the “Filter Can" method, as you're not likely to be using too many other lenses for the night photography most people use the star filter for.