A phylogenetic tree, also known as a phylogeny, is a diagram that depicts the lines of evolutionary descent of different species, organisms, or genes from a common ancestor. Phylogenies are useful for organizing knowledge of biological diversity, for structuring classifications, and for providing insight into events that occurred during evolution. Furthermore, because these trees show descent from a common ancestor, and because much of the strongest evidence for evolution comes in the form of common ancestry, one must understand phylogenies in order to fully appreciate the overwhelming evidence supporting the theory of evolution (Reading a Phylogenetic Tree: The Meaning of Monophyletic Groups).
To build a phylogenetic tree, you have to upload the sequences of your genes (or proteins). For this, it is best to have them in FASTA (.fas or similar) or MEGA format (for this you can change the format in the DATA button, once you have downloaded your sequences of interest in NCBI, for example). Once you have the sequences, in the PHYLOGENY button, select the Neighbor-Joining tree, which is the one with the most standardized use. Do not change any of the parameters that appear on the next screen. Once you get it, I recommend you reduce the size of the tree for better visualization and finally, modify what you consider until you have a nice design on your tree.
Extra tips: Programs like "Notepad" allow you to modify files and open almost any format, I highly recommend it to be able to operate different formats. If you have sequences or entire genomes, with "Bioedit" you can open them and edit or separate chromosomes, and make alignments. Faced with large amounts of data, it works better for me than MEGA, but it has a less intuitive interface and is somewhat more complex to use. Both programs are free.