My daughter wants me to make this cake. What is the best material to make the rope out of? 

your picture didn't come through but in the meantime this is my favorite for making rope:

http://www.globalsugarart.com/rope-set-mold-by-first-impressions-molds-p-21333.html

and i'd use plain fondant probably but a combination of fondant plus candy clay would be best i think

 OK why is the picture not going through? LOL