We just finished building a round pen for my 3 year old mare. We live on bedrock and can't put in posts and we can't afford the metal panels so I made wooden ones out of 2x4x10 and 2x3x8(We used spruce for now but pressure treated is more durable). We cut the 2x4 in half to make 5 foot end posts and attached 4 2x3 rails to make an 8 foot long panel. The rails are screwed on to the edge of the end posts to provide more stabililty when the posts are standing on the ground. We screwed the rails on so that the top one is flush to the top of the post and the others are spaced about 12 inches apart. We then used door hinges (2-3) to screw 2 8-foot panels together. 10 of the 2 8-foot panels sections will give you a 50 foot round pen. We used part of my paddock fence for one edge for added stability and a couple of less panels to make. As we stood up each section, we then screwed hinges on the other ends so that each panel was attached by hinges. We moved the panels to get the proper roundness and the put in a couple of t-posts obn the outside between 2 panels on either side for a little extra support (although it wasn't really necessary). We made it and put it up all in one day and we can easily take it down and move it anywhere we want. It turned out great!
That's actually a pretty simple job, here's an easy-to-follow tutorial: