The Pillory can be found in the Workshop Menu under "Resources > Miscellaneous". Now if you're wanting to easily get this out of the way early on instead of waiting naturally for settlers to come, then I have a quick solution.
Press "~" to open up the console command screen and type in "player.placeatme 00020593 1", which will spawn ONE settler near you. Next go into the Workshop Menu and move that settler to your current settlement. Then assign said settler to the pillory that you should have already built and achievement should unlock shortly after.
Any questions and/or concerns, leave a friendly comment.