Blast Furnace is a block like item that is used to melt different kinds of metals. You can melt the metals to craft new tools or items from them.
The first thing you‘d need is the cobblestone. Move to the spot where you can find a horse statue and start hammering the steps of stone to take 11 pieces of cobblestone.
Make your way to the underground mining area and find the iron ores. Smash it with a hammer and collect five pieces of it.
Exit from the mining area and head yourself towards the furnace. Use the pieces of cobblestone on it to make smooth stones.
Then you need to use the iron ores on the furnace to make iron ingots.
Leave the furnace and move to the crafting table. Open the crafting grid and use the cobble stone on it to make the furnace. Take that furnace in your inventory.