This is basically constructing/modeling/shaping a part or a complete model starting from scratch. When there is no available model on the market, you can build one from plain styrene sheet, modeling clay and or any other material.
The exact same thing as in real life. Let's say you want a trailer. In real life you'll make your drawings and then go to a metal supplier and buy all the necessary steel-angles, sheet metal and metal tubing to build it. You'll cut all the parts as per your drawing and then get the parts welded together to create your master piece. Then youo'll have to buy some wheels and suspension from a retailer to complete the whole thing.
The same thing applies to scale modeling. You could create a scale representation of the trailer but using styrene and plastic rods/tubes/angles and sheet to build it. Then you'll use plastic cement instead of weldings but the result is the same. And you can still buy the resin wheels form an aftermarket parts supplier.
You can even cast your own parts when you have the proper material.
Here are a couple of "how-to"
http://smooth-on.com/howtomakemolds.htm
http://www.armorama.com/modules.php?op=modload&name=Sections&file=index&req=viewarticle&artid=220
http://www.armorama.com/modules.php?op=modload&name=Sections&file=index&req=viewarticle&artid=1001
And here is a supplier of styrene sheets and bits.
http://www.evergreenscalemodels.com/Sheets.htm
Of course, having some designing skills is of great help.
No matter where you go ....... there you are.