I used a used toilet paper roll, but any round form about the same size will work just fine.
The wire should be enamel coated magnet wire. This is solid copper wire with a baked on insulation, usually red, although it can be clear. Uninsulated wire will not work. Wire with rubber or plastic insulation will not work without some extra work.
If your motor looks like the one in the picture, you are most of the way there. Study the picture carefully....
If your magnet is dark grey or brown, it is probably a ceramic magnet. Just about any kind of magnet should work, but it has to be strong (small refrigerator magnets or those rubbery sheet magnets probably won't work). If all you have is small magnets, try stacking them together. The large rectangular magnets from Radio Shack work very well. If your Radio Shack doesn't carry them (or you don't have a Radio Shack nearby), try your local hardware store (such as Lowe's or Home Depot), they usually have a large selection of magnets for doing things like magnetizing tools or hanging tools on walls. Again, get a strong, relatively flat magnet. Circular magnets should work.
The sanding of the coils is probably the trickiest part. Reread these directions and see if the correspond with your understanding of the web page instructions:
Other things to try: