Stone is a building block that is used to craft certain items. You can easily make it by getting a cobblestone piece and then use it on the furnace.
In order to make stone, the very first thing you need to do is to bring one piece of cobblestone. Equip your diamond pickaxe and break down the step near the horse statue to obtain the cobblestone.
After getting the cobblestone you will be able to make a stone. Head yourself towards the furnace and use one piece of cobblestone on it. This will make a stone for you.