I use a washing machine box for the front (spray painted it maroon with gold trim, I have 2 fake plant-vines hanging down the side), and a fridge box for the back (it stands up and has a curtain across it for the puppets to exit from).
The background is the generic background you see in several of the Muppet's photos or books or something...I think I actually took it from the background of the 3-D Colorforms PLayset.
Boxes of this calibur (?) can be found at furniture and appliance stores.
Good luck,
FOZ