From Civilization V Wiki
You achieve a science victory by learning the necessary technologies to create all of the pieces of the space ship, then building the parts and moving them to your current capital (or building them there in the first place).
Space Ship Parts
Space ship parts are constructed and move around the map like any other vehicle. Each requires an advanced technology to construct. They are non-combat units and are automatically destroyed if captured. Once a part has been constructed, order it to move to your current capital. When it arrives you'll be asked if you want to add it to your space ship.
When all space ship parts have been added, the ship will launch into space and you will have won a science victory!
Incidentally, space ship parts cannot be rushed or purchased. They must be constructed in a city.
insert help and tips here