The clue box is an item that can protect a player's clue scroll or reward casket within the Wilderness. If a player dies in the Wilderness with a clue scroll while having the clue box in their inventory, the clue box will be destroyed, but the clue scroll will be protected. The protected clue scroll does not take the place of one of your 3 items kept on death, or 4 with the protect item prayer, so it is possible to keep a total of 5 items on death if you have a clue scroll and clue scroll box in your inventory upon death. It should be noted that even with the clue box the items protected on death screen will still show that the clue will be lost.
It can be purchased at the Bounty Hunter Store for 100,000 points.
To clarify: You just have to bring the Clue box with you.