How can I build a second castle?

You cannot build a second castle, you need to conquer one. To be able to conquer a castle, its loyalty has to drop to 0. The lowering of loyalty is done by attacks with Noblemen (to lower the defender's loyalty, Noblemen have to survive the battle). A Capital cannot be conquered; even its loyalty drops to 0 it still belongs to the original owner.
Enjoy playing Khan Wars – the online medieval game !