Frame up your room. Measure how big you want the room to be. Then get your 2-by-4's and start framing the room. You don't have to make the walls go all the way up to the ceiling--that's up to you. You'll want to frame in any doors and windows.
Provide for any wiring or plumbing. You may not want to include these in your simple room, but if so, you'll need to get some contractors in before you start putting walls in. Electricians will need access to the framing to put in lines and plugs.
Install any insulating material. Roll-our fiberglass is a popular choice: you just cut pieces, put them in between wall studs and staple them in.
Wall in the room from outside with plywood, drywall or other material.
Finish your interior. Drywall is a common choice for a garage room: you can get a really good look by hanging sheets of drywall and then "finishing" it with a tape-and-spackle method.
Do any extras like flooring and furnishing, and your room is ready for its new tenants.