You need to build the Command Post in order to join a World War.
This building is used to store your loot obtained during World Wars.
Take note of the capacity of your Command Post. If your loot from the World War exceeds your Command Post limit, you will lose the excess loot.
If you have loot in your Command Post, be sure to keep it behind Walls, as it is a resource building. If however, you withdraw(all) your war loot from your Command Post immediately after a World War, it will contain no resources and can be safely placed outside your Walls.
Attackers can steal 8% of the loot inside the Command Post, compared to 25% from a Mill or Market and 50% from a Farm or Caravan. (These percentages seem to vary depending on age and building level.) This is why you should keep the loot inside the Command Post, unless you have enough loot with your War Loot to spend on an upgrade.
It also doubles as a defensive building, deploying your nation's unique unit after 10s during an attack on your base.
It starts with your Iron Age unique unit. As you upgrade it, the unique unit will reflect that of the Classical Age, etc.