Additional Rules from the Rulebook*
Black Market allows you to Buy a card during the Action phase. You can use coins provided by other Action Cards played earlier in the Action phase and you can also play Treasure cards from your hand to pay the cost of the bought card. The Treasury cards are played to the table in your play area, just as you would during the Buy phase. You may play more Treasure cards than are required for the purchase; the extra coins from Action cards and Treasure cards are available to use during your Buy phase. You may even play Treasure cards without buying a card. You may not reuse coins already spent during a turn. A card bought during the Action phase does not count as a card bought during your Buy phase, so you do not need an action card giving you +1 Buy to still buy a card during your normal Buy phase.
To use the Black Market Kingdom card, you must create a Black Market deck before starting the game. The Black Market deck is made up of Kingdom cards that are not in the supply of the current game. The players should agree before the game which cards will be used to create the Black Market deck (for example, you could agree to use of the every Kingdom card you own that is not a part of the supply). It is recommended that the Black Market Deck contain at least 15 Kingdom cards, with no duplicates. All players can see which cards are placed in the Black Market deck before the game begins.
Take one of each selected Kingdom card, shuffle them together, and place the deck face down on the table where all players can reach it. This deck is not a Supply pile and if it is emptied, it does not count towards the end game conditions. If you play Black Market and the Black Market Deck is empty, you cannot buy a card, but you still get +2 Coins. If you play Black market and choose not to buy one of the three cards from the Black Market deck, you still get +2 coins.
(* a sheet containing the additional explanation above was included in the Amazon Big Box exclusive set containing Dominion, Alchemy and Prosperity.)
note: although the card text implies you use every single card from the sets and expantions you have, the FAQ state that the black market deck is made in any way that all players agree on. common methods include X random cards that are revealed (or not revealed, if you want surprise) to all players before shuffling, or just using a fixed deck that the players agree on.
many players prefer using the randomizers for the black market deck to cut on setup time. Using this free web-based program, players can create and use their Black Market deck online, only needing to fetch the physical cards when purchased.