thats the issue with this type of antenna. The capacitor must be rated at several thousand volts RMS (depending on frequency and power) and also be tunable. That means one thing: expensive.
Now, one can engineer a tunable capacitor from some mundane materials. Plexiglass for the container, copper or brass sheets for the capacitor plates, a central brass or copper rod (upon which half the plates will be mounted) and a dielectric material (liquid or solid).The dielectric is a pretty easy one to solve. One can use styrofoam or even more plexiglass as the dielectric medium. One could also use mineral oil. These would allow for closer plate spacing than would just air. THe biggest trouble with this type of antenna is remotely controlled tuning. THese are very narrow banded and having to walk outside just to retune it is painfully inconvenient.

There is a discussion group called magloop over on yahoo. There, they discuss construction techniques, where to buy parts, placement and tuning techniques.

-eric