Each Warframe is a separate character, which shares mods with every other Warframe you own. In addition, each warframe can have three builds that can be switched at will, above where you place your mods. (config A, config B, and config C).
If you want to save a specific loadout (eg excalibur, braton, kraken, and an orthos) simply go down to "loadout options" on the bottom right of your arsenal screen and save the loadout.
Does he maby mean the customization of the Tenno him-/herself? Like skincolor and earrings and so on?
A lot of new players do not see a difference between "Tenno" and "Warframe" - and the game certainly makes sure that everyone gets that impression, because the HUGE SPOILER would not be such a HUGE SPOILER otherwise.
OP was probably asking about building more warframes, and Darthmuffin answered him. Only thing to add is that if OP wants more than two waframes, he will have to buy slots - and slots are the very best thing to spend your starting plat on.
The OP said build. You can't put mods on operators, so yeah.Â