Much the same material and tool list I used in my other instructable: http://www.instructables.com/id/Make-Your-Own-Art-Canvases/
Most of the time, I use 3/4 x 3/4 inch pine pieces, ripped to size on my table saw.
A nail gun, if available, or simply use hammer and nail pieces together.
Screws are another choice.
Glue: I like to glue each piece as it solidifies the structure and makes the joints tight.
A cut off saw if available, or a miter box can be used as well.
Watercolor paper of your choice.
Other papers, kraft, copy, poster, etc. See steps to learn uses for these materials.