For this you need to conquer Lothern, build it up to settlement level 5 and then build the Opera House. It's not too hard on easier difficulties.
You start of quite a bit away from Lothern. I'd recommend to conquer a province or two around your starting location, signing non-aggression agreements with the ones around you. Afterwards sent at least two armies towards Lothern, conquer the whole region and put everything towards Growths and protection. Then simply hold out for a while.