A wither is spawned by placing 4 soul sand blocks in the form of a T, with 3 wither skulls on top of the upper 3 blocks.
All of these ingredients are found in the nether. Soul sand is everywhere- it is brown and slows you down when you walk on it.
Wither skulls are very rarely dropped by wither skeletons. These skeletons are found in nether fortresses. They are dark gray and carry swords instead of bows. You will have to kill a lot of wither skeletons to get 3 skulls. A looting sword may be able to help, but it will still take a long time.