Before you drive a nail or knock out a wall, get the picture very clear in your head as to how the new room will be laid out. Sit down and plan it out in excruciating specific detail. Know where the sinks, toilet, shower, tub and closets will be. This is also when you should assess whether you can claim space from another room in the house or will need to construct an entirely new addition and connect it.
Next, you'll need to plan how and where your mechanical and electrical systems will be. A plumber will tell you it's easier if you locate all rough plumbing in one wall. Electrical outlets are not difficult to move around, but the less of that you have to do, the less time consuming and expensive your project will be. After making these hard decisions -- which might be easier if you consult a professional plumber and electrician -- you should choose the overall style you want for your new bathroom.
Once all this planning is complete, the actual construction process will be similar to building the house in the first place. If it's an exterior addition, the foundation goes down first, followed by framing in walls with 2-by-4s and running the plumbing and electrical lines. Rough in the interior, including the roof, ceiling, and windows, then place and connect your appliances. The last step is to do the finish work or tiling, drywall or whatever other types of final touches you prefer.
Depending on your physical location and local building codes, there's a chance you might need to obtain a permit before adding another bathroom to your house. A quick phone call to your city building office should provide the information you'll need. If it seems like this bathroom building project is approximately 90 percent planning and 10 percent execution, then your preparation will have been completely worthwhile. Construction tends to get wildly expensive and frustrating when you try to wing it with nothing more than a vague idea of what you want in mind.