Build a merchant like any other civilian unit. Go to the Unit Construction panel of the Industry screen.  You do this by clicking on the factory icon on the gold ribbon at the bottom of the screen. Then, on the Industry screen, click on the flags icon at the top of the screen.

On the unit construction panel you select the merchant unit. Then order one to be built using the small gold build arrows. You need 3 units of paper and $500 to buy a Merchant.

The merchant will be completed the turn after you order construction.