To capture a building you need to move one of your units onto that building.
However, the building will not be instantly yours. You will have to wait for the next turn.
When the turn starts, if your unit remained on the building, you will be the new owner of that building.
Only infantry units and units on wheels can capture the buildings! Tanks, artillery and aircraft cannot capture buildings!
The same rules apply for the enemy, so keep your buildings guarded.