Here is an example of a screen cage used to get monarch females to lay eggs. Place fresh cuttings of milkweed leaves in a water bottle and place them inside the cage. Place the cage either next to a sunlit window or outside. Intermittant of filtered sunlight seems to work better than constant, direct sunlight.
Building such a cage can be somewhat labor intensive unless you have someone good with tools around the house. Another alternative to building a cage is to simply take a five gallon bucket and cut out a 6" by 6" window from the side and replace with nylon netting. Do the same with the lid.
Other alternatives include buying similar cages online.