Once you have built the Military Academy, then the Army unit just appears like any other unit or improvement in the list. Select it, just like you would select a spearman, or temple, or whatever.
one thing to add:
You need 4 cities for each army as 'support'.
So if you have built the academy in a certain city, but the unit build option 'army' is missing on that city's build list, then you haven't got enough cities (or two many armies by now, respectively).
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