If you want to construct a new building, you have to go to the colony you want it on.

Then select an empty field and click on it. A window will pop up. On this window you click onto "Construction", what will take you to a list of all buildings you can build on this field.

When you have chosen a building, you click on its image or name, and you get the buildings details. On top of the details, you click "Construct building". The building is now under construction.