Club is a commercial establishment. As you are now going to construct a club house I assume that you have got a land plot where you want to construct a club house.
Now you have to get the drawing of the proposed club house by a architect and see that building distance from adjacent roads etc is as per the standard regulation in the matter. These details you can get from local information office or municipilaty as there may be little variation from place to place. Being a commercial establishment you have to include features in your drawing which are needed for security and safety of its members or workers.
The club house plan along with all the details is to be submitted in the concerned office in either the municipilaty or authorised authority who is generally of SDM level in the district collectorate office. They may ask you to take certain clearances from local health, pollution and electricity departments for no objection certificates.
Once the plan and drawing are approved you can start the construction.
As you have only asked for construction part I assume that you have already thought over for getting the registration of said club house, it's name, it's board of management and brief of its business activities in commercial establishment registrar office or other concerned Govt office in state Govt.
When you are planning to run a commercial establishment you have also to register for GST.
Knowledge is power.