There are several premade kits out there that make it easy. If you're on a budget then a DIY project isn't bad.

At my dads house in Houston I built a fairly nice set up for him. The grill was a ready made counter top unit. The frame was built out of metal studs with a concrete base. From there we put on cement board and did a rock exterior.

Do a google search for plans or look on HGTV or DIY channel on the web.