Do you mean a Co2 (Cryo) jet?
Co2 jets really aren't a DIY project, especially for a novice. You need high-dollar and
high pressure cryogenic parts (hoses, solenoids,
etc), which is why they are so expensive. Any parts that are non-cryogenic can freeze and subsequently fail, potentially causing a very dangerous situation. Believe me, it is a lot of trouble and you will spend more making one yourself. Since these effects operate under very high pressure, it is absolutely not something you can cheap out on. Not to mention, Co2 gas can cause injury due to the sub-zero temperatures and the fact that it can cause asphyxiation.
I recommend renting a Co2 jet or using fast dissipating
fog. Word of caution: most companies will not "dry-hire" Co2 jets due to the potential dangers involved. You will probably have to also rent the operator.
Note: you will also have to rent Co2 tanks from an air-gas supplier. A 50lb tank (don't let that name fool you -- they weigh about 250lbs) is good for, oh, about 30 seconds and then it is depleted. Be sure to specify that your tanks need a Siphon Tube. The Co2 tanks for a soda fountain will not work. Paint ball gun Co2 tanks won't work either because A) your
effect will be about three seconds long and B) it will be nearly invisible due to the lack of the siphon tube.
As you can see, Co2 is a lot of trouble, even when you have all the right equipment. I highly recommend using
fog instead. Trust me on this one. I deal with Co2 almost daily. We manufacture much of our own equipment but opted to
purchase our Co2 jets from
Sigma Services.