This one can be unlocked once you have created a Sculptor. In the Sculptor, the bottom of the list (excluding the Stockpiles) has statues called Busts of (Somename). There are four different ones. Choose whichever one your want and build four of them. Make sure that you're making four copies of the same Bust, not four different ones. Arrange these four Busts in a square, much like the Town Square and it will form a Colossus. The achievement will then unlock.
NOTE: You will also need to have built a Wizard's Tower in order to create the Magic Powder required for building the busts.