Making a cereal box paper holder is relatively easy.  All you need is a cereal box and scissors.  I prefer the cereal boxes I get at Sam's club.  The ones that have multiply bags of cereal in them.  They're a little more sturdy but the others work too.

Here is a picture of the one that holds construction paper.  I also use them to hold the kids lapbooks and notebook paper.

Here it is empty

Now to make one you need a cereal box  (preferrably empty LOL) and scissors.

First you cut off the top flaps.

Then you cut about half way down on one of the narrow sides.

Then for the more narrow boxes I like to curve the sides some to make it easier to grab the paper.

Then you just stick in the paper.  If you wanted to make it pretty you could wrap it in wrapping paper or fabric.