I was meaning aluminium box section, you can get some really large sizes if you shop around. It's more expensive than a frame made from steel box sections but it's easy to work with and the supplier will cut it to length normally (I used aluminium warehouse iirc).

My first CNC design included a steel frame and I actually rushed out and bought a halfway decent MIG welder. I never actually built the frame in the end though, doh! Anyway, you don't need a fancy MIG to weld the steel frame together - a cheap and nasty stick welder from ebay will do the job, there's one up for £26 at the moment. The trouble with MIG is unless you go for one with some grunt it won't handle the 4mm thick box you'd want to build the frame from. As for keeping it square and level if you look around you'd be amazed what can be done with epoxy resin. Basically you weld up the frame as square as you can (lots of small welds + clamps) and then pour very thin epoxy over where you'll mount the x-axis rails. The epoxy will self level and should leave you with two sides that are in exactly the same plane. Check out this thread as Neil will be doing another epoxy pour any time soon (actually the technique in the first pour was fine he just fluffed the mixture).