The Sun Cage consisted of four sculptures of Egyptian gods: Amon, Horus, Selkis and Toth each holding an inverted obelisk. The four statues were standing on a square plate of magnetite, in the center of which is a round disc, just below the site of opening of the Anomaly. At the corners of the plate are engraved hieroglyphics, which apparently describe the Sun Cage's function.
When an anomaly opened in Ancient Egypt, the Egyptians believed that it was the sun so built the Sun Cage to contain it. When creatures started coming through the anomaly the Egyptians believed them to be gods, such as believing that a Pristichampsus was the demon Ammut.
Eventually, thousands of years later in 2009, the Sun Cage was acquired by the British Museum, and was put on display. But because of the magnetic properties of the magnetite, the Sun Cage still contained the Anomaly, so wherever the Sun Cage went the Anomaly went with it. It was eventually sent to Pyongyang, North Korea, presumably taking the Anomaly with it. (Episode 3.1)
Back at the Anomaly Research Centre; Nick Cutter told Connor Temple to research the use of magnetite and its effects on Anomalies. (Episode 3.1) By 2011, Connor had created an magnetic case capable of moving small Anomalies using the same principles. He also called his case the Sun Cage. (Episode 5.6)
In the real world, the Egyptians never made a sun cage, it was fictionally created for Primeval.