Once the kingdoms were conquered Aegon established a new city of King's Landing and built the castle the Red Keep. He had the swords of his enemies melted down to create the iron throne. Aegon also appointed certain houses as wardens of their respective lands. The Starks became wardens of the north, the Lannisters of the west, the Arryns the east, and the Tyrells the south.
This image of the iron throne GRRM has said to be the closest to what he imagined it to be in his own mind.