You will fist need to unlock the quest by leveling up in the game. The steps to unlock can be followed on the Win 8 guide in the link below.
Once the quest is available follow the guide below:
You first have to build a caravan station to start. Next go to siege workshop (middle left on screen, the one with the cogs). Train supply wagons by clicking recruit and then select the top option for supply wagons. Slide the scale all the way to the right for MAX build then click the Recruit button on the bottom. You can instantly finish them for free and then mobilize them. You can see the total amount of supply wagons when you click on disband and then back out.