Equip your hammer and rightclick.

which one?
opening your inventory (check the key bindings in the options) will allow you to craft some basic tools
one of those is a hammer, which lets you craft structures (there are in game tutorials and button prompts for this)
one of those is the workbench, which you can use to craft other items.

To craft armour and weapons, build a workbench inside a house/shack and push E near it.

Press TAB to craft a hammer/stone axe/club or hoe