It's made out of a plastic ring binder. The one I used cost $2.20 but it will make about 8 of these diffuser. It could even be cut out of an existing binder which could still be used afterwards :-)
This won't work with cameras where the built-in flash is deactivated by the presence of something in the hot shoe. The Canon G7 behaves in this way, for example.
[Edit] The diffusion will only be noticeable at reasonably short distances, given that the effective size of the light source still isn't so large.