What do you need to build walls for houses?

That depends if it's an interior or exterior wall. Interior walls are basically studs (2x4 pine lumber) covered with drywall ("sheetrock" is a common brand).

Exterior walls can use 2x4s or bigger lumber (2x6s), with insulation in between them. The inside part of the wall is covered with drywall, the exterior is usually covered with plywood or OSB sheathing. In some cases, there is simply foam board on the outside. Then that (the plywood/OSB or foam) is covered with some sort of siding material (vinyl, wood, brick, etc).