If you mean building a website that you fully own, you need to do the following.
> Buy a domain (e.g. yoursite.com)
> Rent a web server storage to host your files online.
> Build it using a web software such as Wordpress, Joomla, and the likes.
> Then you can start filling it with content.
I wrote a hub about it here, https://hubpages.com/technology/The-Process-of-Cre...
I hope this helps!