Want to Build

It's important that your lot be approved for building.  Your purchase offer should be contingent upon receiving approval from the local authorities as a building lot.
Financing is usually done with a building loan, which converts to a mortgage when construction is complete and the building has received a certificate of occupancy from the local building bureau.
As for detailed steps to take -- I'd advise going to your local library, and asking a librarian's help in finding books that describe the building process.