Ellipse:
There is a string attached to two nails. The string is stretched using chalk; when the chalk slides along the string, an ellipse is drawn.

Parabola:
There is a string attached to a nail and to the top of a set-square that is resting on a ruler (not touching the nail). With the chalk the string is stretched and pushed against the set-square: when the set-square slides on the ruler, the chalk draws a parabola arc.

Hyperbola:
A string is attached to a nail and to one end of a ruler, the other end of which rotates around another nail. With the chalk the string is stretched and pushed against the ruler: when the ruler turns around the second nail, the chalk draws a hyperbola arc.