Four bits of fairly sturdy wood, bolted together at corners, bit of triangular reinforcement at the corners (also makes a place to sit), stood on top of a big square of groundcover fabric. Fabric is better than plastic as water can seep away through it.
The lid is the tricky bit though. Ours just has a 'fence' of chickenwire around it to keep the cats out, but it does mean that the sand gets soggy when it rains.
MiL has a nice big lid over hers made of wood covered with a piece of old tarp, but then it means the children can't get in without an adult to lift it off. (As she's a childminder that's an advantage for her as she sometimes has tinies who might eat the sand.)
ps I didn't make ours at all, DH is a dab hand at woodwork!