Where are you trying to craft an axe?
If you're at the start of the game, pick up a Stick so that you're holding it in your hand, and then left click on a Stone on the ground and it will pop up with the option to craft a Crude Axe or a Crude Shovel.
If you're a little later, you need a Basic Workbench to craft a Wooden Axe, which will require one Pole and one Plank, which you can get by using an axe on a plank or a log respectively, or at a saw.