If you need a chess set, there are many inexpensive options (ranging from the cardboard/hollow plastic piece varients to magnetic travel chess), but if even those are unaffordable you can always draw and color an 8x8 grid in the style of a chess board and then make cardboard markers (or paint on small smooth stones) for pieces and draw them in the style of the pieces used on the boards on this site.
Your question also suggests that you would like to play chess without an opponent, computerized or real. I have done this in the past and there are a few methods which worked for me. First and most productive has been following lessons within a book and setting up the board as described in the book and performing my own analysis and trying different moves. A second option is to seek a move list from a tournament game and replay the moves on your own board and stop when the position becomes interesting to you and try to make the best move you can for each player from that position and then check it against what actually happened in the game. My final suggestion is to set up the board after some variation of an opening sequence is complted (these can be easily found here and also on wikipedia) and then continue the game trying to play the strongest move for each player.
How can I play chess with myself??
I want to play chess myself but i don't have a chess set. please help.