It is basically a really strong magnet (rare earth neodymium most likely) sealed in a rubber watch strap.
This 'danger' of sharks has been covered a lot, but most sharks are pretty cautious around people. They tend to be scared of bubbling divers in my experience, and never really approach unless encouraged (i.e.: chumming and feeding). The only time I even tend to see them is while spearfishing, and have only really seen them approach divers when they are hungry and said diver has a stringer full of dead fish on their side. I have only seen 1 great hammerhead in my life underwater, and he spooked and ran when my dive buddy hummed to get my attention and pointed at him (we were both on rebreather, so no bubbles).
If you want to make one of these, just go get some neodymium magnets and glue them to a wrist or ankle band, but as to how effective they really are, I am not a marine biologist specializing in sharks, and it is doubtful you will ever find a definitive answer. Some quick research yielded a few peer-reviewed scientific papers where the theory behind the device is discussed and tested, with some positive results.
It appears that the Ampullae of Lorenzini (the electroreceptors) can be affected by permanent rare earth magnets, but this organ has a range of about 50-60cm, so it probably has to be within about two feet of the sharks sensors on the nose to exert any effect. In one study they placed magnets with small sharks in a confined space and did notice they avoided the immediate area around the magnets, in the other study they placed the magnets near sharks and the sharks were 'roused'. There is also data from some fisheries studies showing that magnets used on nets and catch lines reduce shark by-catch, so it appears to deter them a bit from fishing nets. However, there is also some mention of additional data that suggests if sharks are in an environment where there is strong feeding drive and clear water the sharks will use vision instead of electroreception to function, so the magnets might not be enough deterrent.
Either way, definitely keep it away from your dive computer, as rare earth magnets and electronics are a bad combo.