This has me entirely baffled. I get more hits on this blog by people look for instructions on how to knit an i-cord (a knit cord) than any other search.
http://www.youtube.com/watch?v=jcGj6tpqeJA (not my video)
Although it is a knitting procedure, I'll give you that much.
http://www.stitchdiva.com/ also has these steps in pictures: