how to capture of where buy large number of ants? I mean millions of them?

Well, you would need a special vacuum and digging tool to catch wild ones. Places that sell ant farms also sell ants, but in numbers like a million, that can cost a bit shipping live animals.

The alternative is to buy a starter colony and keep breeding your own ants, with enough fomicariums and queens, shouldn't take too long to breed a million of them. The hard part is they mate in flight, so you need pre mated queens.

I just don't have a clue what you are going to do with so many ants.

Find a large coffee can or some other container the ants can't climb out of. Dig a hole next to a ant bed and bury the container so that the top of the can is flush with the ground. Ants will fall in and won[t be able to get out.