Since 2007 the Thai-Myanmar border at the Three Pagodas Pass is closed for foreigners. The information below is only useful when autorities decide to re-open the border.
At the final songthaew stop, either walk head for the Three Pagodas and then turn right or take a motorbike to the border you will be very limited in what you'll be able to visit without a motorbike.
At the Thai border, you need a photocopy of your passport and 2 passport photos; your passport will be held at the checkpoint, and you must return on the same day. At the Myanmar checkpoint, you need US$10 if paying with US$ notes or 500 baht if paying with Thai currency - therefore it's best to change some baht to US$ before leaving Kanchanaburi. There are no banks here; the nearest Siam Commercial Bank is back in Sangkhlaburi. You need US$ only for the Myanmar entry permit - once in Myanmar, Thai baht is accepted for everything else.
Back at the border, your passport will be returned and you can head back the same way back as you came. There is also the possibility to take a bus directly from Kanchanaburi to the Three Pagodas Pass. Note that you will not receive any passport stamps neither Thai exit or entry stamps, nor Myanmar entry or exit stamps - hence this border crossing cannot be used for "visa runs".
