Constructed by an Archaeologist from an Archaeological Dig.
Only on the predetermined Antiquity Sites can these Landmarks be constructed, you have to think before deciding what to do with each site. Keep in mind that a Landmark will only be useful to you if it's within your territory and close enough to a city to be worked; otherwise it's better to extract an Artifact from the Archaeological Dig.
What's more, when the dig is another civilization's territory, extracting an Artifact from it will lead to a diplomatic incident - they will rightfully insist that the Artifact belongs to them. On the other hand, if you build a Landmark in their territory (expending your Archaeologist), they will be grateful. This is also valid in the case of City-States - you will gain some Influence with them if you built a Landmark on their territory.
A Landmark is any magnificent artifact, structure, work of art, or wonder of nature that draws visitors to a location. Nelson's Column in London is a landmark, as is Mount Rushmore in the United States. Not every significantly sized object, however, is a landmark: the World's Largest Ball of Twine may never rise to that stature (though it might well be worth a visit).