Para/550 cord is a military grade, light-weight, nylon cord that is intended to hold up 550 lbs without breaking. You can get it at most stores that sell camping accessories or military surplus stores.
At the one end I usually just loop the strands through each other and at the other I usually tie the looks on with plenty of leftover 550 cord, and tightly wrap the the longest strand around in spirals up the other two strands, tie them all three together and melt the not just enough that it hardens and wont loosen.
I'm not sure if that makes 100% sense, but I don't know how else to explain it, and that's the easiest way that I've come across to doing it. I've done it other ways, but that's the easiest. Really though, 550 is cheap so just get a bunch and try your hand at it. Worst case, you have to start over.
If you wanna know about 550 cord and different ways you can use it whether its a bracelet, watch strap, sling, belt, knife wrap, or whatever look here. This guy is great. http://stormdrane.blogspot.com/