Both me and another new player have not been able to construct the first cairn in the game. We have all of the resources nessecary, have unlocked it via progression; Our main quest is to build it. The quest states to open the build menu. There is no such menu; guidebook only shows crafting and codex
If it's any help, the Build menu is hotkey B.
If you need to, in case things got swapped, there's a hotkey area in the options, that you can look at to find what your bind would be.