You warp it up by threading the warp yarn through the holes at the end of the pegs and then standing the pegs up in the loom. My loom has a warp anchor bar to keep the warp yarn untangled, I threaded the pairs of threads through the bar and tied it off.
You weave your weft yarn (or rags or even raw fleece!) in and out the pegs until you have filled the pegs.
Then you lift out the pegs (a few at a time) and slide the fabric down the pegs onto the warp threads.
Then keep going, tie off the warp threads when you're all done and Voila!
Too small to be a blanket and too thick to be a table mat! Beautifully soft though and not bad for a first attempt. Now what can I turn it into?