You can buy these things too, so maybe there is now use in making your own. But here is how it could be done.

The coil cable I use here is the super cheap kind from your local 99c store. I don't know if the cables inside the more expensive versions from Radioshack are any better, but these wires are quite bad and messy to solder.

The other (more expensive) option would be to order a 4 conductor custom spiral coil cable from: http://www.cablescience.com/ and ask if they offer shielded coil cables. Although I'm not sure how necessary this is, especially over short distances.

Step 1: Materials and Tools

MATERIALS
- USB cable from your stash or local electronics store
- Spiral/Coil telephone cable from local 99c store
- Shrink tubing / liquid tape

TOOLS:
- Wire cutters
- Wire strippers
- Soldering iron and solder
- Lighter

Step 2: Cutting and Stripping

Cut both ends off your USB cable, leaving about 2-3 cm of wire (plus some extra for mistakes). Strip the cables as seen in pictures.
Select the length of coil cable that you want for this connection and also cut and strip this as seen in the pictures.

Step 3: Soldering

Solder a bit of solder to all stripped wires. USB and coil cable.
BEFORE you solder all the wires together two important things:

- Cut your pieces of shrink tubing and put them on the wires first!
- Once you have soldered one end, make sure that you connect the same colours to the same colours at the other rend too!

One thing that I forgot here is to add another piece of big heat shrink tubing BEFORE soldering so that I can over all the individual cables and truly link the two (USB and coil cable) together --> strain relief!!!

Step 4: Insulating

Push the pieces of shrink tubing over the connection and using a lighter (or if you have a heat gun even better) carefully apply heat to the shrink tubing without burning it.

Step 5: Testing

For this Instructable I chose a regular to square USB connection, which I normally use to connect my Arduino board to my laptop. I don't have any super short USB cables, so the long USB cable always gets in the way and has pushed my Arduino board off the table many times.
Maybe this short coil cable will solve the problem.

I plugged it in and was able to program the chip. You can see that it is connected because the green LED on the board is lit up.

The last and missing step would involve finding a good way to relieve all the strain from the solder connections, since I forgot to add that big pieces of shrink tubing and am too lazy to re-do it all.