Hi!
While the question was basically answered, allow me to explain the situation a bit in detail: Furniture (except for barrels and bins, as well as bags when used for seed or sand storage) in Dwarf Fortress is placed at set locations (and actually can claim the surrounding area as a room when you 'q'uery it). While a bed may exist in the game, it will not be used unless you have set a location for it. So, there are two important steps for putting a bed into use: Making the physical object and setting the physical object up for usage.
The 'b'uild command actually only does the location setting bit of the process. Thus, it can not work by itself.
The production of furniture is done in a carpenter's shop (wooden furniture), mason's shop (stone furniture), metalsmith's forge (metal furniture), leatherworks (leather bags), clothier (cloth bags), or glass furnace (glass furniture). As you have found out, that production is not automatized but has to be executed by you manually. So, the correct procedure is actually:
'q'uery the workshop that is to create the goods (this pauses the game).
'a'dd a new task to that workshop and follow the onscreen information to have it produce what you have in mind.
Leave the workshop query and thereby unpause the game.
Wait for a dwarf to execute the task (Very important, the object has to be in existance before you can place it!)
If you have a furniture stockpile, the new furniture may be claimed by the stockpile. In that case, you have to wait until a dwarf has moved it to the furniture stockpile before you can use the object (when an object is claimed for a task - like getting hauled to a stockpile - it can no longer be moved by the dwarves and not be designated for other tasks)
Once the piece of furniture has been created and is not tasked, use the 'b'uild command to tell your dwarves where to place the furniture.
A dwarf will put the furniture where it belongs.
'q'uery the furniture once the dwarf is finished, to see if there are things you can and maybe should change in its settings.
I hope you don't find this intruding but instead maybe helpful.
Deathworks
P.S.: Your screenshot shows ramps within the entrance of your fortress. Do you need those ramps (are they leading anywhere) or are they just leftovers? If the latter is the case, I recommend using the 'd'esignate menu and mark the ramps to be removed (I think it is 'z', but I am not absolutely sure). Removing ramps is also a mining task.