To purchase the house in the Pale, visit the Jarl's house in Dawnstar. To get the land from Dawnstar, you actually have to go through the Jarl him/herself. Unfortunately, this quest definitely requires you to be the Thane of the Pale. To do this, you have to finish Waking Nightmares and Kill Giants quests plus three minor deeds around Dawnstar. After that, talk to the Jarl to buy it. If you got your Thaneship before finishing the Civil War quests, you may have to re-earn it.
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 go behind your carpenter's bench area, you should be able to find a clay deposit. Immediately under the small outcropping that the bench is on, against the wall will be both a stone quarry and a clay deposit.
Stone - If you go behind your carpenter's bench area, you should be able to find a stone quarry. Immediately under the small outcropping that the bench is on, against the wall will be both a stone quarry and a clay deposit.
Iron - 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. 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).
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).