First of all: it's not the best of the ideas to build a high-voltage capacitor, even if you really know what you're doing. It's a lamer idea to construct one you have looked up on the internet. Capacitors may use things that may explode (if it heats up and enough pressure builds up in its interior).
That said, look for tesla-coil caps. I understand that you need high current, and not voltage, and tesla coilers work with HV. But there's a lot of info out there about building caps to make coils. I've heard one or two stories about caps (made of bottles, stay clear of those) that have exploded and did serious damage to some people. Don't know if they're true or not, but they all seemed plausible to me.
I just don't see how you intend to get thousands of amps out of a cap working at 4 or 5 volts.
i = C* dV/dt, right?
So, to achieve that sort of current, you should build your cap with thousands of farads (good luck with that, I haven't heard about any that get close to that number) or you would only be able to maintain high amps for microseconds, and not 'one or two seconds' (that seems a fairly small amount of time, to us).
My advice: I don't know if you really know your electronics or not, couldn't tell from your post. If you don't really know what you're doing, don't mess with high-voltage, high-current stuff. It's really, really dangerous. It could easily get you killed. It's not worth the hundred bucks you may save (and only may, because, generally, with some few exceptions, industrialized stuff are cheaper than home made projects).
Castilho