The Phrygian modal scale is based on the third degree of the major scale. (To see how modal scales are formed, see this post: Guitar Modes)
The Phrygian mode, whilst not as commonly used in improvisation as the Dorian and Mixolydian modes, nevertheless has its own distinctive sound, and is gaining popularity particularly in rock guitar soloing.
Phrygian Scale Guitar Diagram
The above diagram shows perhaps the most commonly used way of playing a Phrygian modal scale on the guitar.
E Phrygian Scale
To play an E phrygian scale, play the above shape at the twelfth fret. See below for tab and notation.