Use welded wire with 1/2x1 inch mesh. (The holes should be smaller than the birds head). Chicken wire and hardware cloth are cheaper and could be used but will result in a weaker cage unless you build a wood frame. With welded wire you can use cage clips to attach the sides to each other. Make the cage at least 2 feet square and as big as you have room for. It does not need to be very tall unless you plan to get in as well. (Note that birds mostly fly horizontally, not vertically) Look for a bird farm or a farm supply store to find the best cage materials. Sometimes an old TV cabinet can be recycled. Do a little research and have fun with it.