It's made out of Komatex, a rigid "foamed" PVC product, but that's only because I happened to work for a sign shop, and I was using the offcuts. Plywood would be every bit as easy to build with.
The construction is pretty much the same as stairs, the side pieces are cut like stair stringers, and I used risers and treads. I used particle board screws to put it together, again only because I had them on hand.
There are four stringers, in all. One on each end, and two in the middle. Its probably overkill to have the fourth one, but I'm a firm believer in over building things! The risers are cut to support the treads, and the spacing was calculated so I could read the color (I'm repeating myself, aren't I?). The treads are calculated to be 1/8" wider than the bottles they hold. The very first tread doesn't have a stringer under it, its a doubled up piece of tread. You can adjust the sizes to fit your specific bottles, I wish I could buy the big ones locally!
Here is a cross section drawing showing the construction, you will note that I have 7 shelves and the drawing only has 5. That is because I'm lazy! You'll just have to extrapolate!