A design wall can be done several ways.
One that is on DH's project list is a piece of soundboard (from Home Depot or any home store) covered with Headliner Fabric (from the fabric Store) and put on a wooden frame that lets the design wall hang on on the wall much like a picture does.
Another idea I've seen is tacking a flannel backed, vinyl tablecloth (Wal-mart has them) backwards on the wall and using the flannel side to hang blocks on.
Until my soundboard wall gets done, I just have a full piece of batting tacked to the wall with small nails - it at least gets the job done!