The rod is copper. You can find it in the electrical department at Home Depot. Solid copper rod, 8ft long, 1/2 inch diameter (I think) and a hardened sharpened point on one end. Drive it into the ground until there’s about 6 inches sticking out, add a grounding clamp (right next to the rods) to hold the wire to the rod.
You run the ground wire on the gun to the rod and another wire from there to the hook your part is hanging from. It cleans up all the RF and other interference that can be present in an AC wiring scheme in a house.
If you don’t do the rod but just clamp your gun’s ground to the part hook, you’re using the house ground (the 3rd wire in the outlet) to eventually run back to the grounding wire that the house is attached to (a similar copper rod). The difference is that the rod the house is attached to is far away in terms of all the rest of the wiring in the house where the one you pound into the ground outside your shop is right next to the gun so a short path to where it can drain any spurious signals.
You do not want two grounding rods earthed close to each other though as that sets up eddy currents and other bad interference which you were trying to get rid of in the first place. Your house one is probably very close to your electric meter. If your shop is 20 feet or so away you should be good with a new dedicated ground for the gun.