I suggest using a large glass jar filled with 9" to 10" of peat or peat/potting soil mix. You can try to encourage the spider to construct the burrow by slightly creating a hole, or by putting half a clay pot in the enclosure. You may also want to put a dark colored piece of plastic wrap around the jar so the spider doesnt web the transparent side of the burrow, although this doesnt always work.
If you set it up in the jar the way Alex describes, you can also bury a smaller jar or other cylinderical object right in the center. This means the substrate is around the sides, forcing the spider to dig it's burrow near the glass.