Our cat run was born out of nessasity and sadness as a family member's cat was recently hit by a car and passed away. Living on a main road it became very apparent that if we didn't take action the same thing could very easily happen to our cat.
With this simple home improvement we can protect our cat and give her a long and happy life.
We where fortunate for our set up that the house is close enough to the fence on two sides of the property that we didn't need to enclose much area to allow the cat all the room that she needs.
Materials for the project:
Cat Netting - http://www.catnets.com.au/
Black Rope - Also http://www.catnets.com.au/
Wall Plugs & Eyelets
Timber (cheap lengths and weighty sleepers)
Staple Gun Ammo
Flat Head Screws
The cat netting should be UV stabilised so it doesn't deteriorate in the sun, and bite/scratch proof. It needs to be strong enough that your cat can't break it and have a fine enough mesh that your cat can't get out through it.
We found netting to be cheaper and less work than using chicken wire for the whole enclosure (less work because galvanised mesh needs to be properly washed before use for animal enclosures).
You might have different needs and availabilities depending on where you live and what shops are available to you.