I remember playing with it when I was a child and how it confounded me. It has two essential ingredients - cornstarch and water. We often include food colouring and/or almond extract for a bit of excitement. ;)
Put a few tablespoons of of cornstarch in a small bowl. Add water one teaspoon at a time until (this is the tricky part to explain) it is runny when you pour it but hard when you apply pressure. It's an amazing consistency when you get it right! You can roll it in a ball and then let it run through your fingers.
The kids love to play 'dirty cars' with it. It makes an amazing mess if it gets out of the bowls....but I prefer to clean up later as long as the kids are enjoying themselves now.