Both of them performed some miracles. Either have got revelation from God and established a religion.
Does Build a Church mean building a construction or found Christianity?
What did Jesus have got more than Muhammed? Is there anything that you can say? İnner Jesus was not a God but He was a very high spiritulaty human. Was there any characters of a God on Jesus? Did He not live exactly like a humanbeing? He performed some miracles but do not forget many prophets performed miracles. Lastly as a position Muhammed come first.
There are many errors here.
To answer your question, no, He didn’t build a physical structure:
Matthew 16:16 Simon Peter replied, "You are the Christ, the Son of the living God. "
17 And Jesus answered him, "Blessed are you, Simon Bar-Jonah! For flesh and blood has not revealed this to you, but my Father who is in heaven.
18 And I tell you, you are Peter, and on this rock I will build my church, and the gates of hell shall not prevail against it.
Also,
Matthew 28:19 Go therefore and make disciples of all nations, baptizing them in the name of the Father and of the Son and of the Holy Spirit,
20 teaching them to observe all that I have commanded you. And behold, I am with you always, to the end of the age. "