Prototypes give you insights into how a product or service will be used, before you create a finished version.
First decide which aspect of the user experience you want to test, and choose an appropriate representation to test it. This will vary according to the stage of development your project is at.
At an early stage a 'quick and dirty' prototype that people are not afraid to criticise is best for testing principles.
At a later stage a you may want to create 'works-like' prototypes to detail aspects of build and functionality and a (possibly separate) 'looks like' prototype to test response to form.
For example, you might first test the principles of a new office workstation by building it in foamboard using hot glue. In later stages you may test a detail of the mechanism by building 'works-like' mechanical prototypes and the form of the furniture by building separate 'looks-like' models at scale and with no moveable parts.
Build your prototype using available material and test it with end users, or role play how you might use the design yourself.
Use what you learn to improve the prototype design further.
Physical prototypes are also particularly effective in communicating design ideas to diverse groups of stakeholders.
Resources
Paper, card, foam board, hot glue... you might need a whole DIY store, depending on the level of realism required.