If you can find a local traffic safety supply store--I used 'stanchions' (used to rope off areas to keep traffic out), with the rubber bases, and a roll of plastic barrier tape (traffic safety store or large box hardware store). Very movable, and relatively cheap. My cost was about $160, but I only had to construct half a round pen because I was able to use a corner of a fenced area for part of my circle/round pen.
I was able to use a corner of fencing and added my stanchions in an arc with the ribbon to achieve a 'round' pen that had 2 straight sides with a corner and an arc--worked for me! but, if you don't have a fence to incorporate, you could use just the stanchions. Leave an area to be the entrance gate that you can 'close' after youre in there.
My horse has never blown thru the tape, although he could very easily. I don't know about a greenish horse. It'd be easy enough to put it back up and difficult, I'd think, for the horse to hurt himself. Be sure to let them get a good look and a sniff of the tape before trying to confine them in there, especially if there's any wind as the tape moves with the wind. In fact that is the biggest disadvantage, if it's very windy, it can really wiggle. I took the tape down after every use, but left the stanchions in place.
Hope this is helpful.