A whelping box is where the female bitch and her puppies stay when they are nursing. Building your own whelping box is the best thing and the cheapest thing to do in my opinion. Whelping boxes don't have to look good to be good. You do want a durable whelping box as well as a box that both the female bitch and the puppies feel comfortable in.
Here are a couple pictures of home-built whelping boxes:
Here's some websites that you can visit that show you how to build a whelping box: http://www.mcemn.com/WB-WhelpingBox.html
Photos used in this blog: