This always seems to amaze people!
Simply take a paper bag, fill it full of water and place it near some hot coals.
Only the top of the bag will burn where the water is not touching it, the rest of the bag will remain in tack as the water cools the bag wet and cooler than the papers burning point.
Another method of doing this is to take some dry stones and place them in the fire. When they are very hot, place them in a bag of water. You will need at least a couple of rocks depending on their size and how hot they are.