Usually either trex or pvc sheeting, one of the two. Trex generally won't trash a board too bad, but it definitely can.
To build it, just drive 4x4s into the ground about a foot and a half (assuming the rails only going to be a few feet out of the water), about halfway down the board, drive in some posts at angles to act as side to side/front to back stabilizers at a 90 degree angle on each support, switching sides with each one. (make an L with the support pieces on each board, one out to the side, and one to the front, then switch sides).
Build the top of the rail with 2x6s for the sides, and a 2x8 or 2x10 (most likely what you'll need) on the top. Take the trex, lowes sells 3/4x10x15 (or 20, can't remember), set it on the top, and screw it in, using a counter sink to keep the screw head below the surface, or use some swan head screws (I think that's what they're called), the heads are angled so that you can drive them below the trex without trashing it or using a counter sink.
Take the top pieces and mount them onto the parts of the slider that don't need to fit together. For the parts that fit together, you'll need a handsaw and a good eye, just match that stuff up and you have a rail.
Generally for designs, flat bars have become fairly popular because you can do a lot of tech stuff on them or what not, or up then flat, or A-Frames. The easiest to do will probably be a flat bar though. I helped out with building a funbox for a rail jam the local shop put on, which generally uses the same design as what I just told you, just more 2x4s. If Robby McFarland finds his way to this thread, he builds some fairly solid rails, so he might have some better pointers.