Building in Conan Exiles is covered on this page.
The building blocks you're going to use to build your domestic domicile are divided into 3 tiers. At the onset, you're only going to be able to create very basic structures made of stone and wood. They will provide basic protection from the elements but are not sturdy enough to protect you from attacking enemies. The more you progress in the game, the better types of walls and foundations you'll be able to erect. At tier 2 you will be able to build more reinforced structures that also have an aesthetic upgrade. At tier 3, you'll be able to create fortress like structures that can stand against enemy onslaughts, while also boasting some impressive architectural design.
Eventually, you'll be able to progress the interior of your home and outfit it with stations for Crafting where you can create better Weapons, Armor and Items. You'll also be able to decorate and furnish your house with collectibles and trophies you gain from your conquests.
The game will task you with exploring your Locations and surroundings to find Materials you need to engage in crafting. Everything you find will be used to build your burgeoning empire and the tools and weapons that you will use to defend it.