All you need:
cardboard (an old boots box or something similar big)
textile tape (like duct tape)
All you actually need to do is cut out a letter out of a boots box, add some walls to get a 3D illusion. Drill holes in the size of the tips of the fairy lights. Put those into the freshly drilled holes and voilá!
To see more pictures and get a detailed description view on my blog: http://look-what-i-made.com/2013/01/09/give-me-an-a/