Every miniature in the Warhammer range has a points cost that reflects how effective it is on the battlefield.
Both players choose armies to the same agreed points total. You can spend less and will probably find it impossible to use up every last point. Most 2,000 point' armies, for example, will be something like 1,998 or 1,999 points.
To form your miniatures into an army, look up the relevant army list entry for the first troop type. This tells you the points cost to add each unit of models to your army and any options or upgrades the unit may have. Then select your next unit, calculate its points and so on until you reach the agreed points total. In addition to the points, there are a few other rules that govern which units you can include in your army, as detailed under Choosing Characters and Choosing Troops.