Answer:
Your best bet is to buy a kit. Many of your major lumber stores ect.. carry the kits that include the lumber and the fixings to go with it. Some are pre-cut, you just assemble. Some others you actually do quite a bit of cutting and drilling. A kit would be the best route though as it will get expensive in a hurry.
For backyard playgrounds having a kit is a good idea. Having a safety surfacing under the playground is important though. This could be rubber matting, or a product called Engineered Wood Fiber. The Home Depot in some areas carries a product called Kids Karpet that can be spread out under the playground.