A Castle is the place where you can construct your Buildings, gain and store your Resources and train and Upgrade your Units in order to form a strong Army. It is your and your subject’s home. Without it you are not a khan at all, but just a commoner. Every player receives one Castle right after registration. It's up to you whether you choose a region of the Map by yourself, or it will be randomly positioned.
Note that as the time goes by, you might want to extend your power by Conquering new lands. In this case you should know that the maximum number of the Castles you are allowed to have is defined by your Order's level but note that you can't have more than 11 Castles at the same time.
As you already know a Castle can be Conquered which is the best way to acquire one that has already been developed and take advantage of its development. Castles can also be Abandoned by their owner when they feel it's more of a burden than an asset.
To switch between your Castles use the drop-down menu on the top-left, where the current active Castle's name, its coordinates and its Loyalty are displayed.