It can be as simple as a clothes basket or milk crate with quilt batting inside. You place a submersible pump with a hose attached and run the water over the batting. I have used a couple of 2x4's over my pond and suspended it so the water runs dierctly back into the pond. Granted, this is a temporary filter.
To make a permanent fines filter, the same principle is applied, you just need to be a little more creative and find a place to put it that works for your pond.
Many here have used furnace filters bought at Home Depot. These can be removed and rinsed off. You just need to build or modify some kind of housing for it.
I took a stainless steel swimming pool filter and converted it to use filter media that you can buy at the LFS. I use this on my large waterfall that I only run on occasion.
I hope this paints a better picture for you.