You need to make; a barracks for infantry troops, stable for calvary troops and workshop for siege troops. I suggest looking to the help files ingame they will help you to get started off.
You can produce a paladin in the Statue which you can build from the HeadQuarters. To build spears (your first mass-producting units) you'll need Barracks, you'll need level 3 HeadQuarters to build them.
