When we say that:
Rome wasn’t built in a day.
Then we want to express that it takes a long time to create something. You can’t achieve everything immediately, it needs time and effort to build something up.
A conversation with that expression could look like this:
Tom: God, it sometimes seems like I’m just planning and planning and make no progress at all.
Jane: Oh, come on, Rome wasn’t built in a day and you have to take your time too until you make some progress.
And here Morcheeba:
build something up = make/create something
progress = to get better and better / to come to the next level