Behind every clear water pond is a good filtration system.Filters collect debris and fish waste, keeping it out of the pond and away from the algae. A good filter will contribute greatly in keeping water clear and fish healthy. They can cost anywhere from $100 for a small pond filter to many thousands for large ponds. If you are having problems with green water or string algae, you probably have an under sized filter or no filter at all. Filters also give nitrifying bacteria more surface area on which to grow, which also helps to control algae. Filters for small ponds can be in ponds, but ponds over 500 gallons require more surface area than you want taken up in a pond and so they should be an out of pond filter.

There are two parts to filtration: Mechanical filtration and biological filtration. Mechanical filtration collects debris (such as leaves, sediment, etc.) keeping it out of the pond thus improving the clarity of the water and the health of the fish. Biological filtration aids in the process of breaking down the ammonia and nitrites or decontaminating the water the fish live in.
Biological filtration will occur even if you do not have a dedicated filter to do it since your pond is one big biological filter. But, if you have too many fish, you will need the extra help of a biological filter.
The mechanical filter media can be made of many different things: but usually is made of scrubbing pads, open pore foam or very fine netting.
The biological filter media can be made of many different things: Lava rock, poly strapping, sand, custom made material, etc. You are creating larger surface areas for the bacteria to grow on and allowing oxygenated water to pass through it.

Mike Bentley has complied a list of different people who have shared their ways of making homemade filters. Just click on this link and it will take you there.
http://www.mikebentley.com/ponds/homemadefilters.htm