Depends on the kind of house you want to build. Stone, concrete, wood, brick, log, or something else.
To begin with, you need a foundation and buy construction supplies online. Generally, that requires poured concrete footings. Atop that may be poured concrete walls, or laid concrete block walls.
If you want to build a wood-frame house, popular in the US and many different places, you need loads of wood, in various sizes. You then need something for sheathings, such as plywood. Then you need some external facing, which might be beveled siding boards, aluminum siding, mesh and concrete, cedar shingles, brick, stone, or artificial stone tablets, some sort of paneling, or something else.
You will need plywood or shiplap boards for flooring and roofing. You need windows and doors. You need shingles or something else to cover the roof, and you will need tarpaper or butylene rubber sheeting under it.
You will need something for the interior walls and ceilings; often, drywall is used. But you can make walls of wood, or of metal lath and plaster, or of a substrate and paneling with some surface finish such as a simulated wood pattern. You can get all the required materials from the construction supply online shop.
