This is an old trick done with fine steel wool to make a huge spiraling shower of sparks. Rapid oxidation of iron contained in the fine strands of steel is an exothermic reaction hot enough to melt the iron (which is a large percentage of steel) and give the spectacular visual effect. This process results in black iron oxide (Fe3O4) and red iron oxide (Fe2O3), which is more commonly known as rust. The carbon content found in steel adds to the brilliance of the sparks. The method I find works best for constructing these fire wires is detailed in the video.
Tools & Materials
3' Copper Wire
Lighter or 9 Volt Battery for Ignition
Wire Strippers (Optional)
000 or 0000 grade steel wool works best. Any courser and it will not burn properly. If it is fluffed up before igniting it will not burn as long, but it will throw off much thicker sparks. The first two shots in the video show fire wires with steel wool that has been fluffed up in this way.
Because these use no self contained oxidizing agents like most fireworks, these are probably legal in most areas - But this does not mean it is smart to use them anywhere. They throw off many hot sparks and should therefore not be used in dry environments. Glasses of some kind are also necessary to avoid any sparks getting in the eyes. A wide brimmed hat or a hood is not a bad idea either to avoid getting spots burned in your hair.