I'm not sure what exactly your confusion is, and to be honest, the "More details" section confused me...
Let's talk groups and vector spaces as a quick table setting.
What is a group? There are a couple of ways of defining a group, but the most common is to say something like:
A group is an ordered pair $(G,\cdot)$, where $G$ is a set, and $\cdot\colon G\times G\to G$ is a binary operation on the set $G$, such that the operation is associative, has an identity element, and every element has an inverse.
So, how do we describe a group, or how do we specify or "construct" a group? We specify a set, and we specify a binary operation on the set; if necessary, we verify that the operation has the desired properties. Once I've told you the set and the operation, I have "constructed" the group (provided it satisfies the properties it needs to satisfy).
If $K$ is a field, what is a "vector space over $K$"? Again, the precise wording may vary but you usually have something like
A vector space over $K$ is an ordered triple, $(V,+,\cdot)$, where $V$ is a set, $+\colon V\times V\to V$ is a binary operation on $V$, and $\cdot\colon K\times V\to V$ is a way associate to each element $k\in K$ and $v\in V$ an element $k\cdot v\in V$, such that list of 10 axioms
.
How do I construct a vector space over $K$? I specify a set $V$ of "vectors", I tell you how to add vectors (elements of $V$), I tell you how to multiply scalars (elements of $K$) by vectors. Once I've specified those three things, if they satisfy the 10 axioms, then I have "constructed a vector space".
What is a category? Again, the precise definition varies (though they all end up defining equivalent structures). A very common way to define a category $\mathscr{C}$ is to say that it consists of:
A collection $\mathrm{Ob}(\mathscr{C})$ of "objects". (I use "collection" because sometimes in categories we work with proper classes rather than sets).
For each ordered pair $(X,Y)$ with $X,Y\in\mathrm{Ob}(\mathscr{C})$, a collection $\mathscr{C}(X,Y)$ of "morphisms from $X$ to $Y$".
For each ordered triple $(X,Y,Z)$ with $X,Y,Z\in\mathrm{Ob}(\mathscr{C})$, a function $\circ\colon \mathscr{C}(Y,Z)\times\mathscr{C}(X,Y)\to\mathscr{C}(X,Z)$, called "composition".
And then we require that it satisfy certain properties/axioms: for each object $X$ there must exist an element $\mathrm{id}_X\in\mathscr{C}(X,X)$ with certain properties relative to composition, $\circ$ is associative, etc.
So, how do we "construct" or specify a category? I need to tell you what the objects are, I need to tell you what the morphisms are, and I need to tell you how to compose morphisms. Once I specify those things, I have "constructed" a category, provided it satisfies the necessary properties/axioms. Note that the "objects" don't need to be sets themselves; not that the morphisms don't need to be "functions" in the usual sense. They are just "things" we label as 'objects' and 'morphisms' (just like a "vector" in a vector space doesn't actually have to be a tuple, and "vector addition" doesn't have to have anything to do with addition in the usual sense).
Just as we can talk about vector spaces in general ("Let $V$ be a vector space; then any spanning set of $V$ contains a basis for $V$", for example), or in particular ("The row space of the matrix $A$ has dimension $3$"), and similarly for groups, we can talk about categories in general (without constructing a specific one; just talking about any category, or any category satisfying certain properties), or in particular (by constructing/specifying a category and saying things about it).
The statement at hand here is: for every group $G$, there is a category $\mathscr{C}$ and an object $X\in\mathrm{Ob}(\mathscr{C})$ such that $\mathrm{Aut}_{\mathscr{C}}(X)\cong G$.
So, let $G$ be a group. We will construct a category and specify an object that satisfy the conclusion.
To specify the category $\mathscr{C}$, I need to tell you: the objects of $\mathscr{C}$; the morphisms between any two objects of $\mathscr{C}$; and how to compose morphisms that can be composed. Let us do so:
Pick a one element set, $\{\star\}$. This will be my set of objects of $\mathscr{C}$. That is, the only object in this category $\mathscr{C}$ I am constructing is $\star$.
Since there is only one object, I only need to tell you what $\mathscr{C}(\star,\star)$ is. Well, it will be the underlying set of the group $G$.
Since there is only one object, I just need to tell you how to compose elements of $\mathscr{C}(\star,\star) = G$ in the category. If $g,h\in\mathscr{C}(\star,\star)$, then they are "really" elements of $G$. So I will define $g\circ h$ to be the element $gh\in G$.
Is this a category? Yes! Composition is associative (because $G$ is a group). The identity morphism on $\star$ is $e_G$, which satisfies the needed condition: for every $g\in\mathscr{C}(\star,\star)$, $e\circ g = eg = g$, $g\circ e = ge = g$.
What object is $\star$? It's just the name of the one element in the one element set you chose. If you aren't sure there is such an object, remember that we know the empty set exists, so we can just take the set $\{\varnothing\}$ (which exists by the Axiom of the Power set). It doesn't matter, because this object is just a placeholder, a scaffolding on which we are constructing our collection of "morphisms".
Now, in this category, I claim that $\mathrm{Aut}_{\mathscr{C}}(\star)$, which is a group under $\circ$, is isomorphic to $G$. Indeed, in fact $\mathrm{Aut}_{\mathscr{C}}(\star)=\mathscr{C}(\star,\star) = G$, and the operation $\circ$ in $\mathrm{Aut}_{\mathscr{C}}(\star)$ is the same as the operation in $G$. So it is not just "isomorphic to $G$", it is in a sense identical to $G$.
This shows the claimed result is true.