See their website for the real deal, and you'll definitely want a set.
Step 1: Buy the Materials
I wanted something that I knew the strength of. 50 feet of pre-packed cord with a tensile strength of 375 lbs is perfect. My weight is 175 lbs, definitely strong enough. It's feels a lot like paracord, and my guess is that paracord would do just fine.
I bought three wire gate carabiners, but they're not the rated kind. They are the keychain kind, and aren't climbing rated. I didn't see the need to spend 3 times the money on something that is certified, tested, with traceable metallurgy for use in a situation that is unlikely to encounter more than 250 lbs. of force.
You can pony up the cash for the climbing rated carabiners, but keep in mind that even though these are the keychain carabiners, they aren't the pink anodized kind with the wimpy gate you find attached to a flashlight next to the register at Lowes. These things are beefy. I've tried everything I can to break them, and even one will hold my body weight, and not deform.
I got this thing about a year ago (from REI as well), and I use it here simply because of the handles. I just clip in to the handle loops. I can un-clip it and do all my other workouts with it too. I didn't want to dissect it and cut the handles off the band because it would render the band useless. Instead, just clip in, and work out as usual. The band doesn't provide any resistance, and can be worked around no problem.
Step 2: Making the Ends
Make the loop as shown, and clip in to it. Then dress the cords into the small end of the clip.
Repeat as shown on the other end of your cord.
Step 3: Making the Center Clip
Step 4: Attachment to a Support
With the center clip in place, you can find any beam or post or eye hook (or tree limb, or swingset, etc.) to attach your straps to. Just go around the anchor point, and clip to the straps.
Step 7: Making Foot Loops
In the line for each handle, we need to make a loop to clip to. Once again, follow the pictures, its much easier and more adjustable than you might think.
Put this loop in each end of the straps, and get them even. Then adjust their height from the floor with the main clip at the anchor point.
I put the straps in the center of my foot, and not near the heels. Provides a better workout by requiring you to use more leg for stability.
Step 8: Exercise Some More!
Understand that these are designed to develop not only primary muscles, but also the stabilizing muscles. If a workout seems like a complete pain in the ass, it's because its working!
Good luck and have fun, and check some of the other Instructables on these to see what you like.
Thrake has made an instructable that has great info on knotting that would relate well to this.
And Thinkenstein has an instructable on handles made specifically for ropes that might help.