This isn't my idea - I got it from here last year, but I did put a video together on it from some photos someone had asked for. So here's the video on making a Corex (Coroplast) Playpen. Corex isn't that cheap for a few sheets but very sturdy. Mine cost about £20 for five sheets, plus the bulldog clips. But cheaper than some! I got the Corex from ebay. It comes in different colours as well.
https://www.youtube.com/watch?v=AvXJ-Jbo0CM