This is a project that could keep you busy for a few hours and costs less than 50€ (or USD), but will keep kids entertained for quite some time.

We had an old zip line we got from a toy shop, but it was rusty and it was no longer possible to tense the cable or move it to a higher position. We decided to build a new one from scratch and a quick trip to the local DIY shop was enough to collect all the materials we needed to build it.

We also did some design improvements, making easier to tense the cable and simpler to remove the trolley (just in case kids too young to use it are around) and even the whole zip line during winter or rainy season.

Step 1: Materials and Tools

To build the zip line you need:

Steel cable.
We used 5mm cable and got 25meters of it for 15€, the length of the cable, of course, depends on the position of the trees/poles you plan to connect with the zip line. Ours were around 10m apart, so we will have cable left to replace the original one if it gets rusty or damaged in any way.
A pulley.
It cost 2€ and is rated for a load of up to 100Kg, more than enough for a zip line that is going to be used by kids.
Round wooden stick.
We got one that is 28mm in diameter. We paid 7€ for a piece that is 1 meter long, giving us material to build two trolleys.
One carabiner.
It's 8mm thick and costs 1€
Nylon rope.
It is 4mm thick, rated for 70kg, we use it in a braid, increasing the maximum load. 10 meters cost 2.5€.
Six malleable cable clamps.
Cost 0.5€ each.
Two eye-to-eye turnbuckles.
Used to keep the cable in tension. 1.2€ each.
Rubber tube.
We got 5 meters for 4€, it's useful to protect the part of the cable that is wrapped around the trees (and the trees themselves) and the ends of the cable, avoiding that those needle-like wires can poke someone's fingers.

You will need:

Saw, to cut the handle
Drill, to make holes inside the handle
Lighter to burn the ends of the rope to make knots more resistant
Wrench to close and tight the clamps
Duct tape to cover the ends of the different sections of cable
Paper tape to protect the wood while cutting/drilling

Step 2: Cut the Trolley Handle

First, you have to cut the round wooden stick to around 40 centimeters, then you can use sand paper on the ends to avoid that some wood splinters could detach and hurt who's riding the zip line.

Step 3: Cut Holes for the Suspending Rope

You have to measure around 2-3 cm from the center of the handle, on both sides and then drill two holes around twice the diameter of your rope (I used 4mm rope and drilled 8mm holes) if you plan to use it in a braid, as I did. Otherwise keeping the holes the same diameter as the rope should be ok.

I put some paper tape on the handle to mark down the placement of the holes and to avoid to damage the surface when drilling.

You can then use sandpaper to clean up the holes.

Step 4: Fit the Rope

You have to cut three segments of rope 40 centimeters long. I made a knot to keep them together and then burnt the knot with a lighter to make it more resistant.

Then you can pass the ropes through one of the holes and start making a braid using the three open ends.

When you have 5 centimeters of rope at the end of your braid, side it through the other hole and make the second knot.

Cut the excess rope and burn the end close to the knot.

Step 5: Prepare the Cables

You can use the plastic tube to measure the circumference of the trees you want to connect, cut the tube to this size. You'll have two sections of plastic tube that could be wrapped around the trees.

Slide one end of the steel cable inside the plastic tube and slide out around 15 cm of cable. I put duct tape on the ends of cable, to avoid hurting my fingertips.

Slide the cable clamp on the cable and then bend the cable back and slide the end inside the clamp, making a loop. Close the clamp very tightly, the safety of your zip line depends on that!

Slide the plastic tube over the part of the cable that is out of the clamp.

Cut the cable so that you have 40cm of exposed cable out of the plastic tube. I put some tape on the cable before cutting it using shears, this helpskeeping the cut clean and prevents the wires from getting unwrapped.

Cut a section of plastic tube around 5cm long and slide it on the cable.

Slide a clamp on the cable, to make a loop.

Pass the cable end through one of the eyes of the turnbuckle.

Close the loop, so the turnbuckle is connected to it.

Repeat all the steps to build another cable for the second tree.

Step 6: Attach Cables to the Trees

Pass the cable around the tree that you will use a starting point, move it to the desired height and slide the turnbuckle inside the loop on the other end.
Don't put it too high or your kids may not feel comfortable and safe using it.

Pull the cable until is well attached to the tree, as in the pictures (yes, I have a palm tree in my backyard).

Step 7: Prepare the Main Cable

Slide a 5cm section of plastic tube and a clamp on one side of the cable and close it in a loop around the other eye of the turnbuckle. It's better if you do that on the highest side of the zip line, so you can pull the cable and lock it on the other side without using stairs.

Leave the turnbuckle fully extended (unscrew the eyes close to the frame), so you will have some room to increase cable tension afterward.

Slide the plastic tube over the part of the cable that exceeds from the loop, to protect it.

Step 8: Pull and Fix Main Cable

Slide the pulley on the open end of the cable.

Slide a 5cm piece of plastic tube and a clamp on the cable.

Extend the turnbuckle on the other tree to its maximum length and pass the cable through its eye.

Now pull the cable and cut it 20 cm after the eye.

Slide the end of the cable inside the clamp and pull it again (use gloves or nipper to get some extra grip), trying to tense it as much as you can. Having someone helping you in this phase is quite useful since one person can keep pulling the cable and the other can close the clamp to lock it. It's very important that the cable is well tensed, otherwise, your trolley will not slide smoothly and will probably stop quite far from the end.

When you have locked the cable in place, close both turnbuckles by turning them until they reach their minimum length (or you hear the trees screaming for mercy).

Step 9: Attach the Handle.

Use the carabiner to connect the rope and the pulley.

I used some WD40 on the pulley to make the wheel spin smoothly, you may need to do that too and to re-apply it after some time without using the zip line.

Step 10: Test It!

Be careful, it's a good idea to try first if the pulley runs smoothly and then ride with someone close that can stop the "passenger" if the trolley is running too fast.

Once you are sure that your zip line is safe, enjoy the ride!

Step 11: Step 11: Improvement

Thanks to some comments and after having used the zip line for a few weeks, we made some improvements.

First of all, we added an extra clamp to all the places where we fixed the cable in loops. This means 6 extra clamps, it is easy to add them even when the zip line is already in place and increase its resistance. Just put the additional clamp 2-3 centimeters from the existing one and tighten it as much as you can.

We also added some rubber tape (the one commonly used for tennis rackets' handles) around the wooden handle, this improves grip, make grabbing it easier and reduces the risk of wood splinters hurting the "passengers".