I've made some of these for a lot of my Forever 21 dresses. It's a slip that looks like it's part of your dress/skirt. If you're not into sewing you can buy slips like the ones below at A Slip Shop. LOVE HER STUFF!
If you ARE into sewing making one of these is easier than ever. I'll tell you a little secret.....Ready? I make mine semi-homemade. I buy a slip at the thrift store for about $1 or $2 (less than the cost of fabric and elastic) then I cut off the bottom two inches shorter than my dress. Then I sew on the fabric that will stick out from below the dress. Doing it this way makes sewing these so much faster and easier. One thing I DO recommend: try to make the bottom of the slip as wide as the bottom of your dress/skirt. Sometimes if you don't the result looks awkward. And vice versa.