You need too be a country with a coast province to be able to build a navy. simply build enough cogs/galleys to reach the maximum and this will be yours. You can also choose to build barque and early carracks but those ship types are both more expensive and require more time to build.
You can find the navy force limit on the military tab.
You may not always need a navy so it's good to do this early in the game when the limit is low.