Building a wall is relatively easy, but you've got to tie into your existing structure, including the floor ( subfloor and floor joists), ceiling ( and ceiling joists) and perhaps one end of the wall will have to tie into an existing wall. Without these tie-in points, your wall will be weak, wobbly and will move.......conditions you don't want.
I would suggest you go to the library and check out a couple of books on interior residential construction and home remodeling. The book should give you nice pictures and a 'how-to' on constructing the wall, including what tools you will need and the amount/size of material to buy. Also, aside from framing the wall, you will need some instruction on hanging and finishing drywall.
Depending on the size of the wall (height and length), this will be a bit of a project for first timers....but with a can-do attitude and the commitment to take your time and do it right, you will have a nice product when you are finished.