Building your own cold frame can be simple and inexpensive. Use 3/4" plywood (cedar or treated lumber will last the longest) to build a simple, open-ended box. The back should be four to six inches higher than the front, or at about a ten percent angle. A steeper slope might make more use of the low angle of the late winter sun, if you are using it during very cold months. The frame should be no deeper than you can reach, usually three or four feet, and as wide as you like. You might want to make it an appropriate size to fit in a pre-existing planting bed. For extra insulation, a frame could be built or 2X2's and covered with plywood on each side, and the space inside filled with straw or styrofoam.
The lid of the cold frame should be built slightly larger than the box, to be sure of a good cover. Build a frame out of 2X2's attached with metal brackets, and be sure to cross-brace it (with a 1X2) so that it can support a heavy snowfall. "Glaze" the lid with a four or six mil plastic wrapped around the top and bottom, attached with tacks or staples. Two layers of plastic are necessary; one layer will not offer enough frost protection. Heat will be retained by the air trapped between the layers.
Attach the lid to the box with hinges at the back. Loose-pin hinges will allow the lid to be removed for winter storage. Use leftover 2X2's with notches to prop the lid, or use perforated metal straps that will attach to screws on the front of the frame and the lid. The top must be opened on sunny days or anytime the temperature in the frame gets too high. An automatic opener can be very useful if you are not home all day to check on your plants every couple of hours, and will regulate the temperature very well.
A successful cold frame could also be built with bricks, cinder blocks, old windows (use double-glazed), or even using hay bales as the walls. Some jugs of water could be placed inside to absorb heat during the day and release it at night, or a string of Christmas lights could provide extra warmth during the coldest weather. Use whatever materials are easily available, and enjoy experimenting with spring weather than can come four to six weeks earlier in your cold frame.