I think it helps to know what the finished project will look like.  The frame consists of four 2 inch by 2 inch boards that are screwed together and then carpet gripper strips (the same as those in your home if you have carpet) are attached to the frame to hold your linen.

You'll need the following materials, all of which can be found at your local home improvement shop (such as Lowes or Home Depot):

Materials: 

Four 2" x 2" pieces of wood cut to length depending on which frame you need to make.  Currently we have three sizes of Rug Punch Purses. 

Large Tote:  two 27 1/2" long and two 35" long

Small Tote:  two 23" long and two 30" long

Purse:  two 18" long and two 24" long

Four to eight 2 1/2" Wood screws

Carpet Gripper Strips:  At most you'll need 11 feet. 

Pipe insulation

Tools:

A Screwdriver but probably more like a power drill

A saw

Glue

A hammer

A utility knife

Either cut the wood yourself or have the home improvement shop chop it to the length you need.  I found 4 foot sticks at my local home depot which made it easier to transport.  They had both Pine and Poplar wood.  The Poplar was more expensive but it is a nicer piece of wood.

Place the shorter 2x2's to the outside and the longer pieces to the inside. This means that the butt end of the longer pieces should be against the long side of the shorter 2x2's.

I used screws to attach my pieces together.  I pre-drilled the holes which also made it easier.   Then I added a little glue to between the pieces of wood and screwed them together.  At first I used one screw per end, but found that sometimes the pieces would twist.  For added strength, you may want to add two screws per end.  If you prefer you can also nail the pieces together, but i found the screws were easier.

Once you have the frame together, measure and cut the carpet gripper strip long enough to cover all around the perimeter  Be sure to have the nails angled towards the outside when you nail them in, or otherwise they won't work very well!

See Picture Above.

It doesn't take long to figure out that these gripper strips are even more lethal than the typical rug hooking frame.  The best thing I found was to cover them with Pipe insulation. This can be found in your local home improvement shop in the plumbing section.  For me it was near the pipes like PVC.  I found it comes in 6 foot long pieces that I can cut to the appropriate length using a utility knife.  The piece I have says it was 1 1/8" by 1/2' by 6'. 

Once you have it you can place it on the frame to cover the gripper strips.  The problem is they are likely to come off when you begin using it.  The best solution is to use large rubberbands to hold them tight.  I found some of these large rubber bands at Ace hardware.  They were marketed as bands to go around trash cans to hold the bags in place. See Picture below.