Carbon dioxide used to be only available through the use of a steel compressed tank and regulator set up. This still works the best, but start up costs exceed one hundred dollars, even for the do it yourself method. Full featured setups can cost much more. Yeast method, CO2 production. Different recipes have been tried, and most work pretty good.
Most people use an empty plastic two liter soda bottle.
You drill, or melt with a hot nail, a hole in the cap to accept an air line. The most common problem that I have heard of is that the CO2 gas escapes from this hole in the cap. Other people have also reported success using aquarium silicon and also with the use of a fitting sold for drip irrigation. In any case the seal must be air tight. Also, it is highly recommended that you install a one way check valve in the line as cheap insurance against the potential risk of an accidental siphon.