Sibilance is the technical term for the noises that "s" makes. To your ears, they aren't terribly outstanding. However, when processed through a much more sensitive microphone, that hissing noise can quickly become unbearable.
Plosives are any words incorporating "p" and "b" sounds. They're called plosives because they sound like miniature explosions of air coming from your mouth as you say or sing them. Again, they're not overtly noticeable to your ears. Put through a microphone, however, they can be deadly---especially when recording.
While several different methods have been devised by amateur and professional recording enthusiasts, most use an embroidery hoop to make a pop filter. The hoop can be wood, plastic or metal, depending on what is available and how much you want to spend. If you use wood, sand any rough edges along the surface of either hoop. Failure to sand away these edges may result in ripping the pantyhose you'll be using to create the actual filter. The size of the hoop may be any size you wish, but a 6-inch hoop should be adequate for most purposes.
Yes, you'll be using pantyhose. Tights also are acceptable, as are stockings---they can be new or used (but clean), too. Whatever leg covering you choose, make sure it has no runs or holes, and is large enough to stretch across embroidery hoop several times. Layer the fabric to create an adequate filter by folding it between the hoops a few times.
The final part of making your own pop filter is affixing it to your mic stand so that it can be positioned in front of your microphone at whatever angle you find most convenient. Designs vary, but most involve using wire that can be bent to move the filter around. The combined filter/wire apparatus can then be clamped to your mic stand using pony clamps, or affixed using wooden dowels.