All you need is Polymer Clay (or Fimo or Cernit).
I took it in blue but you can use every colour you want.

Divide it in 3 equal pieces and make it soft

Take one pieces and roll the clay, do it like the one in the photo ( it must look like a worm :3 )

Do the step 3 for the other pieces of clay

Press the edges of the three worm-like clay pieces together. Now you can start doing the braid!

Do the braid...

Cut the rough edges off.
Form the bracelet and smooth the edges. Then take a little piece of clay and add it over the edges.

Now bake it! (I suggest to bake the bracelet on about 130degrees for 30 minutes)... Done! Hope you like this ?