Unless you start a new character with a magical doo-dad (which I will have to approve), the only way you are going to get hold of one is to find, steal or build one. Give up any thoughts RIGHT NOW about buying one; nobody in their right mind is going to sell one to you. (Well, fairies might, but they're not really in their right minds most of the time). If you want to build one, there is a good chance that you will have to imprison some sort of magical critter in it to do your will, you exploitative swine, you. This can be done with a Binding spell, but just how a Binding spell works and where to get one I will leave up to you to find out.
Building magic thingies is almost always an expensive business, not because you necessarily need expensive materials (though that is often the case), but because you almost always have to spend a lot of time and money on bribes and research, as well as paying lunatic Heroes to collect bits and pieces for you. This last is the most frustrating part of the whole affair, as Heroes are notoriously easily distracted from their real work, which is (of course) working for you. They dawdle, they lose things, they go chasing off to rescue the weak and downtrodden and generally fail to attend to the business at hand unless you are right there to keep them in line. Some wizards are driven into adventuring on their own behalf out of frustration at the incompetence of their proxies; this is almost always a Bad Thing™ since it not only puts you at personal risk, but also cuts into your valuable study time which is, as everybody knows, the real vocation of your basic wizard. Not power, oh no, not Cosmic Importance or anything as crass and vulgar as that. It's the study that's the thing. Really.
That and the parties.
As well as making magical widgets, it is inevitable that at some stage you will want to break somebody else's, or they will want to break yours. In the section dealing with Foci, (pp. 104 - 107, Hero System Rulebook) you will find the rules dealing with breakable or unbreakable foci. As an optional extra, if your focus contains the essence of some being you can define it's breakability like this: rather than progressively losing functions, the focus keeps working until destroyed whereupon the imprisoned critter is freed, and is probably mightily pissed off. This could make your focus a little less vulnerable, but you may not want to be around when it finally sucks the kumara and lets out Arioch in a really bad mood.
Take note that an "unbreakable" focus must have at least one way in which it can be unmade or destroyed, to be defined when it is created. Tossing it into the Pits of Doom is traditional, but I'm sure that with a little thought you can come up with something original. Just bear in mind that I will have to approve it.