You may start to choose what material did you want to have with, and here, i'll assume you want to have standard anime/comic heroes figurine. And do it yourself, rather than buy one.

If you like to have clay based materials, you can start searching a creative shop on your town, and bought some white artistic clay (kit, preferably if you never do this before), and acrylic colourings. Just make sure you mix the dough throughly and uniformly, and shape em with patience. Once the rough shape are done, do the details with small section of dough and clay knife to shape it, dont forget to add the base for it to stand. Dry it (either in the oven or as whatever instructions said), and colour them. Have a nice figurine.

If you feel more into either moulding or sculpting, feel free to take some gypsum for it. You need to prepare rough mould made by plasticine, and it works best if you use white one. Make the mixture and pour them into the mould (dont forget to make a base anyway), then wait till they hard (for sure, a day) then scrap the plasticine, and put it in the oven for half a hour so the excess plasticine melt away. Do some sculpting with clay knife and or nail (gypsum are rather soft, unless its real big, there's no need to extra force), and after it was done, dip it in gypsum water. Dry it and bake it, after that, colour em as usual.

If you want plastic... Unless you somehow get acess, and can use small scale mold and blow torch, and plastic work set. I dont suggest it to do it yourself, the same goes with glasswork.