As Erik said, you need to look at the colony cost, if it is above 0.0 then you will need to send over infrastructure first.
Sorry if the rest of this post is a bit condescending, but I'll be going through what you need to look at / do to put down a colony and I don't know how much experience you have with the game.
On the System Information screen (shortcut: F9) you can see a list of all the bodies in a system. The 5th column in is where the colony cost is. If you do not already have a colony on the planet / moon you want one on you need to select which planet / moon you want to add the colony to in the System Information screen, and then click the Add Colony button at the bottom of this screen.
Colonies are automatically added when you send a GeoSurvey Team to a System Body.
Once you have founded a colony you can see its basic information in the Colony Summary screen (shortcut: F2). In the list of information there are three bits that are relevant to you, "Infrastructure required per million population", "Current Infrastructure", and "Population supported by Infrastructure". From what you have said this is where you are up to yes?
To actually ship the Infrastructure over you need to design and build a Cargo ship. You do this the same way you would design and build any other ship. A cargo ship needs at least one Cargo Hold - Small, or one Cargo Hold - Standard module. These are in the Transport & Industry Section, you should design a commercial engine to ensure you keep to a commercial design (which doesn't need any ongoing maintenance). A commercial engine is any engine that has Engine Power of 0.5 or less and is 25HS or more.
You also need to design and build your own Colony Ship, these need at least one Cryogenic Transport module. Again, this module is in the Transport & Industry section of the class design screen
After you have designed both ships you need to make sure you have a Commercial Shipyard that has enough Capacity for your ships. I have found that if you design your colony ships and cargo ships to be the exact same tonnage with the only differences being the Cryogenic module for the colony ship and the Cargo Hold for the cargo ship you can construct them using the same Commercial Shipyard if it is fitted to construct the colony ships.
Once you have constructed a Cargo Ship you can start shipping over Infrastructure to your new colony, you do this from the Task Group orders screen, there should be an order to Load Infrastructure at the colony where you have built it. After that select the new colony and find the order Unload Infrastructure. You can repeat these two orders as often as necessary until you have enough Infrastructure at the new colony for several million people.
Your Civilian shipping Lines should build a single cargo ship or colony ship after this. If they don't try shipping some colonists to the new colony using your colony ship. But you want to Load / Unload colonists rather than infrastructure.
Hope this helps,
ddblackhawk
