建设 is similar to "develop" (to make something better), such as 建设国家 developing the country, 建设法制 developing the legal system, 建设城市 develop the city, even 建设高楼大厦 build(develop) skyscrapers.
建立 is similar to "found, create", such as 建立国家 found a country, 建立法制 founded the legal system, 建立公司 found a company.