You can build them out of recycled materials including old windows, plastic and used lumber. The frames must be relatively airtight but have openings for ventilation. There are also many easy to setup cold frame kits available commercially and vary greatly in price.
Cold frames are great for starting transplants or growing longer season crops that require more heat. Start seedlings for the outside garden in your cold frame in late February through early April.
For salad greens simply sow your seeds in late February or early March and you be picking your harvest from early April into May. They can also be used to allow for late season salads for over a month past the first fall frost.
The trickiest thing about growing in a cold frame is overheating. Be sure to allow for ventilation on sunny days. This can be as simple as propping a window up or open in the morning and shutting it in the evening. There are also heat triggered openers that require no electricity and automatically open cold frame windows as the temperatures rise.