Sigh. Let's look at the whole quote, shall we?"You didn't build that."
"If you were successful, somebody along the line gave you some help. There was a great teacher somewhere in your life. Somebody helped to create this unbelievable American system that we have that allowed you to thrive. Somebody invested in roads and bridges. If you’ve got a business — you didn’t build that. Somebody else made that happen. The Internet didn’t get invented on its own. Government research created the Internet so that all the companies could make money off the Internet."
The "you didn't build that" is in reference to everything else that helps your business to thrive. Teachers, roads, bridges, Internet.