I used to be a picture framer. You have a few options, and they all depend on what's available to you. It's hard to assemble a frame at home because you need the frame stick you like, a wood saw, a framing vice, and the glue & tools.
1. It is far easier to go to a frame shop that offers do-it-yourself framing. Call around and explain your situation. Frame shops have all kinds of frame selections that they keep in sticks and they can custom cut for you. The prices range from cheap too luxurious. If they are not assembling it, that cuts the price in half, if you can find a shop willing to do it that way.
2. You can buy the framing sticks at a hardware store, but the wood won't be stained or finished. If you have the tools at home, you can build it there, but it's not recommended without the special corner vice that hold the sticks in place so you can glue it with wood glue and drive a nail or two, and allow it to set. The vice is important for strength.
3. If it is a standard sized picture, some craft stores, like Michael's, or custom frame shops, carry ready-made frames. If your picture is not standard-sized, but could be matted to a standard size, then you can take it to a custom frame shop and have them cut a custom mat for your picture so you can put it in a ready-made frame yourself.
Since you don't likely have the vice, I don't recommend trying to build it from scratch at home, or the frame is likely to fall apart in time, unless it is a very small picture and thin frame board, like smaller than 11X14.