Hmm looks really awesome.
For the floaty bits: sheer cloth (or dyed gauze)
Legs: PVC that'd have to be wired to the legs somehow to maintain that shape
Armor attached to legs: Paper machete sewn trough the material and attached to the underlying support (it's lighter and easier to puncture). Otherwise crafting foam or clay that's hooked/glued/velcroed to it (may be too heavy for the leg supporter).
Wrist and ankle armor: Crafting foam (or clay which is heavier)
Chain: You may be able to make your own linked chain out of rubber piping found in hardware stores. Otherwise, try to buy one from a car section or scrap yard. Be wary of weight, you don't want it to be too heavy on the arm.
Helmet: You guessed, crafting foam! the cure all for cosplay armor.
Coloring: there are some tricks to make armor look like metal
how to make armor:
http://www.squidoo.com/costumearmor
You can use cardboard as an alternative to crafting foam. It'll be less durable but perhaps it will be stronger after painting.
tips for cardboard helmet:
http://www.instructa...costume-helmet/
If you or your friend have access to plastic, here's a tip to get that rusty color (experiment on opposite side for proper shading first):
http://answers.yahoo...16091801AA7YxZm
A more costly alternative is to go to a workshop in your area and request some of the pieces made. You'll need a lot of reference pictures. Or, have the entire/hard parts of the costume commissioned here
http://www.mooncostu...com/custom.html
If you choose to have it made elsewhere, I'd suggest just the armored parts, soft sections should be easy to find at a fabric store. Even try making the helmet out of cardboard (though the appearance may be different from w/e the maker does) it's a good skill to hone.
Good luck ^^