Building a nest box if fairly easy. You can make the whole thing from an 8 foot long, 1 by 10 inch pine of cedar board. First, cut your board into six pieces as shown below (you will have a small piece extra). Drill two 1/4 inch holes near the top of each side and four 1/4 inch holes in the bottom for ventilation. Then cut a 3 inch diameter enntry hole in the front ten inches up from the bottom. You can trace a food can to draw your circle.
When you put the box together, it works best to pre-drill pilot holes, then glue and screw the pieces together. First attach the front, flush to the sides, then center the back and attach it. Next insert the floor piece (it should fit inside). Lastly, use small hingest to attach the roof to the back. This makes it easy to open the box for cleaning after the nesting season is over. Finally, put one small screw eye on the side of the roof and another a few inches below on the side so you can wire the roof closed. This will keep predators out. Put an inch or two of bark chips in the bottom. Don't use cedar sawdust, as it can injure the young kestrels's eyes.
Download these directions in printable form along with hanging and maintenance instruction.