This is an interesting projectile that can be fun to use.  It is simply a tennis ball filled with pennies for weight with an attached parachute that was purchased at a Army Surplus store.  It is called a 'Flare Parachute,' and is used to drop flares from airplanes for a signaling device.  Below is a simple diagram of how it is constructed:

Insert the pennies by cutting a small slit in the side of the tennis ball.  Insert many pennies.  It does not need to be totally full but make it somewhat heavy.  Screw the "eye screw" in the tennis ball.  Tie the parachute string through the "eye screw." 

To launch the tennis ball parachute you must use a 2.5" barrel.  Roll up the parachute (similar to a model rocket) and wrap it around the tennis ball.  Insert it down the barrel and fire.  The tennis ball usually flies through the air for a couple hundred feet then unravels.  It should slowly drift back to the ground.

(Picture of the parachute inflated by a fan)