For this you will need four pennies. Arrange the pennies so that the centers of all four are equidistant from each other.
Example:
(1) (2) (3) (4)
This will not work because penny 1 and penny 4 are farther apart than penny 1 and penny 2.
(In reply to
re(2): Pennies of Giza by Vishal Gupta)
When we come to triangle-shaped pyramids, I see no problem at all, Vishal. What I pointed at was the definition of pyramid, as follows:
A solid figure with a polygonal base and triangular faces that meet at a common point.
And, as our best images of pyramids I imagine to be the ones of Egypt, here's the description of those:
A massive monument of ancient Egypt having a rectangular base and four triangular faces culminating in a single apex, built over or around a crypt or tomb.
So, as you see, the vocabule "pyramid" may mean a polyhydron with four vertices and faces, but not necessarily (and not commonly as well). As this word was potentially misleading to me, I thought it might have been the same to others and decided to give the polyhedron its rightful name to fit the problem's solving (in this stance, a tetrahedron). Like I said, all was probably a matter of speech, but in a hurry I might have mistaken Jyqm's idea.
Now that I think of it, it's not as important, other than giving the polyhedron Jyqm described its rightful name.