From: Utlima Thule
a wee bit more information would help
but, do you have the needed inputs (men, officers, raw materials)? Do you have the money to pay for the build? Are you trying to build units in regions where you can't build that unit?
You need to have the unit tab and the build tab selected - if you then click on a unit you'll see one of three colours in the provinces (i'm going off memory here) - green can built there and can build now (ie you have all the needed bits), pale green, you can build there but not now (ie you lack some resource or the other), yellow (no longer sure) you can't build that unit in that location.
In general I'd suggest posting PoN questions on the AGEOD forum, its far busier so more likely that someone will pick up a query.
As a suggestion - have a look at my old AAR 'Manufacturing Italy', its a few patches out of date now but may help you with the screens and how things tie together.
Final bit of advice, don't build anything at the start. Depending on who you are playing, either your at start army is quite adequate or you can't afford to build - let your economy run a few turns and settle down before committing any resources. Its not a conventional war game where you need to build up rapidly, even Central Europe will start peacefully