The circuit is straightforward. It uses a 555 IC wired as an astable multivibrator to produce a tone of frequency of about 1kHz which gives out a shrill noise to scare away the burglar.
The wire used to set off the alarm can be made of a thin copper wire like SWG 36 or higher.
You can even use single strands of copper form a power cable.
The circuit operates on a wide range of voltages from 5V to 15V.
The speaker and the circuit could be housed inside a tin can with holes drilled on the speaker side for the sound to come out.