You need items called schemes (also called blueprints) to build other things in this game. There are three classes of schemes: buildings, golems, and items. You will only ever need ONE copy of any scheme. Once you use it (which is done from inventory), it will be in your library forever. (Except for buildings; the recipe for buildings will disappear once you've built it.) However, if you want to lower the coin cost of crafting a building, you can use multiple copies of the scheme to lower the cost by 10% each time.
There are a couple of ways to get your hands on schemes. To get them for free, explore with your pets on islands. When you pick up treasure chests, you have a chance of finding random schemes. If you want to buy them, you can visit Item Trades under the Trading tab. Or you can go to the Wanted Sales forum and put up a thread there advertising that you want to purchase schemes. They shouldn't cost you more than 1,000 silver each.
Also remember that schemes are only recipes. You will still need to acquire the materials that the scheme demands. This generally happens hand-in-hand with exploring islands - you should find the materials as you look for schemes. Honestly, you don't really need to rush on buildings - the only ones you may need soon is Warehouse 2 (for storing the things you find in explore) and Stable 2 (if you're aggressively breeding and getting pets).
Anyway, sorry for this long long post. If you're pretty lost, I suggest heading over to the Player Guides forums and looking at Timain's Extensive Guide for Newbies.