I just built a gheto one with a K&N cone filter and white PCV pipe from Home Depot. It looks like crap, but seat-of-the-pants dyno tells me it gives a bit more juice (plus it sounds cool

) To install it, you have to remove the front bumper since you need to remove the stock air box ... it's really quite easy (on a coupe, remove the bumper lights, and behind them are a couple of 12mm bolts ... that's it!). Once all the stock piping and box is gone, you'll see exactly how to run the CAI piping (basically, drop it through the hole so the filter is behind the fog light cover.
For more detailed info, check the "Useful DIY" forum