Should be able to get it to work eventually.
Skyrim: Hearthfire might have only released this morning, but some users are having difficulties locating and buying plots of land in the freshly-released content.
After installing the 400 Microsoft Point DLC, a courier is supposed to deliver you a note when you next enter a city detailing the process of visiting a Jarl to buy your new plot of land in the Minecraft-inspired add-on. But some users are receiving another note that instructs them that they can now build a Child's Room in one of their existing properties, such as Whiterun's Breezehome.
Land deeds, which cost 5000 gold a piece, can be snapped up from the Jarl's assistants in Morthal, Falkreath and Dawnstar. It appears you do not need to be a Thane to buy a plot of land, but some users are having difficulties in doing so from these areas - we couldn't buy land in Falkreath and Dawnstar, though we managed to get ours from Aslfur in Morthal's Highmoon Hall (thanks, IVG!)
If you actually manage to get a plot of land, you should trigger a Miscellaneous quest to visit your new plot of land.
Once you've finally built a house you'll need an ample supply of various building materials, with the most important being logs, clay and quarried rock. Logs can be delivered to your property by visiting a mill, with the generous woodcutters bunging in free shipping. Clay can be mined, like ore, from clay veins that are near your house - rummage around a bit and you'll find it. The clay vein appears to never-ending, though knowing Skyrim this could just be a bug. Quarried rock can also be located near your house.
Skyrim's Hearthfire also lets you adopt a child, which is exactly the kind of responsibility every budding adventurer wants.