To start, you'll need an old frame. You can pick these up for next to nothing at charity shops or on the street for free.
You'll also need some fabric scrap strips, string and glue.
If you want to display a picture with a wooden peg as I've done then you can tie this on before you start. Now wrap the fabric strips around the frame on the diagonal, glueing as you go.
Switch up the fabrics when each strip runs out, it doesn't have to be precise. Allow to dry before pegging up a piccie. Fin.