To first purchase the house in the Falkreath Forests, find the Jarl's Longhouse in Falkreath. Inside, you're looking for either Tekla or Nenya (depending on the Civil War), who is the Jarl's Steward. You should have an option to buy a house from her for 5,000 septims. After buying the house from her, you can head to the land which is North of Falkreath. You'll see a row of mountains just to the North with a small pass leading between them. The house is just North of the mountains on the edge of that pass.
When you get there, you should find that the logs have been removed (they appear if you haven't bought the land yet) and that instead, there's a work station with a drafting table, carpenter's bench, anvil and chest. Inside the chest will be quarried stone, clay, iron ingots and more that you will need to craft the beginnings of your home.
Once you've collected your materials, head over to the drafting table. At the drafting table, you can pick the next part of the house that you will craft. Once you've picked the next part, go over to the carpenter's bench to find out what you need to craft it. Some walls or doors will require you to craft things like iron hinges and nails from the anvil nearby (under building materials instead of iron). Once you've crafted certain parts, more will become available and the same holds true of the drafting table. Once you've fully built the "small house" that you can start with, the drafting table will allow you to build an entrance way and so on. You can only have one project picked at a time (for instance, you can't have selected both an East and West wing to build).
Clay - If you walk out of your home and slightly to the right (about 45 degrees), you should see a small clay vein on the hill side. It's hard to see. If you've already built stables, it just off the front most corner of the stable.
Stone - If you walk out the front door and turn left, there will be a cliff face. turn left and follow the cliff face until you see piece of the cliff that looks like it's been smashed away.
Iron - From your work bench, follow the path just beyond and look left. Not far from the work bench should be a large iron vein in the ground. Once that's depleted and if it hasn't returned, Iron is a rather common item at Blacksmiths under misc. The best way to get Iron is by Fast Travelling between the Blacksmith in Riften and the Blacksmith in Solitude. They are just far enough away that their stock has replenished by the time you get back.
Sawn Wood - You can get Sawn Wood from almost any Sawmill in Skyrim. You may want to go a little further to get your goods since the nearest Sawmill, Half-moon Mill, might be empty from a quest during the Dark Brotherhood where you had to kill the Vampire owners. The wood will be "delivered" to your home when you buy it (basically, it follows you everywhere but you aren't required to carry it).
Corundum - Similarly to the Iron, there is a Corundum Vein nearby. If you go up the hill to the right and go all the way to the highest point, you should see some tucked away under a rock. It's kind of hard to see as it isn't entirely revealed. Corundum, like Iron, can be bought from Blacksmiths (later in the game). You should only need 10 or so ingots to complete your house.
Straw - The best place to find this is at the General Goods Store "Bits and Pieces" in Solitude.
Glass - The best place to find this is at the General Goods Store "Bits and Pieces" in Solitude.
Of course, you can also buy clay, stone, or wood from a Steward if you have one (bring a follower to your home and ask them to become your steward).
