Building an army is nothing different than building any other units/city improvements. Look into the city's list of buildable items and you should find army in there.
You need 4 cities per army (as "support"). Say you had 12 cities and already 3 leader created armies, the army build option won't show up in the Mil. Ac. city.
If you have not reached your "army limit", things should be like morkaphi said.
Just don't be surprised by their cost of 400 shields. I hope you built in a good core city. I usually don't build it in my capital, but I for some reason tend to build it in the city with the forbidden palace.
Yes, but the Military Academy itself makes a better wonder prebuild. Unless you're talking about in a 20k culture game which is the only real use of the Military Academy, but then you just use a palace prebuild unless you're making your capital the 20k city which probably isn't a good idea.
Armies are of dubious value, and at 400 shields, they are way, way overpriced.
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