Player housing is a new feature in Skyrim: Hearthfire.[1]. It lets players build their own homes.
To build a house, first you need to purchase a plot of land (or multiple plots for larger estates). Do so by obtaining a Deed. Locations for your house include lands in The Pale, Falkreath, and Hjaalmarch.
Design home using Drafting Table and Carpenter's Workbench
Build basic and advanced Rooms
Furnish/Decorate rooms (you can hire a steward to help you)
Build garden/exterior
See also
The Beginner's Guide to Homesteading