I'm not sure what you're referring to as far as the picture, but I make a couple different kinds of tents. One way, I tie a string from one side of the cage to the other on the very top rung of the grids and hang a piece of fleece over it.
Another thing I do that the pigs love is bend a grid so that if forms a 'v' shape, turn it upside down and put a piece of fleece on that.
Not sure if this is what you are looking for, but my pigs love them.
Edited to add: I just saw the picture you posted. That looks like store-bought to me, and if it isn't I wouldn't have a clue how to make that!!