Mylar is a plastic type gift wrap available at the dollar store. Go to this link and look at post #6 for what it looks like. It's not really mylar but works. Post #1 has some other links that explains Mylar.

Mylar is a brand name by Dupont. It was not designed for embroidery. It is best used with a design that is not dense and has no underlay stitches so that the Mylar can show through. By the look of your avatar name you are in the USA so you should have no problem with the purchase of Mylar. Mylar can also be washed and ironed with a pressing cloth to protect. Good luck. Sarah.

The stuff you get at the dollar stores and as basket wrap is usually not washable or does not hold up well. She is very reasonable here http://www.heirloomsbysharon.com/whatismylar.htm I did it on some designs and it is really pretty.