Honeybees dont build a "nest" as such. They use a hollow cavity to stretch honeycomb across. Common places you find them are in hollow trees, chimneys, & walls of houses or buildings.
Honeybees are also the only bees that technically swarm. Swarming occurs when the colony is over-crowded. The queen raises another queen to take over the colony & then she leaves with ten thousand or more bees to start another (this is a very brief & loose description of what happens, but we think it will give you the basic idea). While looking for another place to build the swarm will land on a branch of a tree, bush, or something similar, clump up on top of each other, & then send out scout bees to look for a hollow cavity to move into. When honeybees are swarming they are very gentle, until you start messing with them (e.g. kids with a hose). Once angered they can be extremely dangerous & even deadly. They should be left for a professional to deal with. If you have a swarm of honeybees give us a call & well try to put you in touch with a beekeeper that can come out, put the bees in a hive box, & take them away alive (usually for free).
Unfortunately, once honeybees have moved into a wall of a house, about the only thing to do is exterminate them. The beekeepers that we know dont find it economically viable to remove them from such a place. The likelihood of getting the queen out of there alive is questionable, not to mention the expensive of tearing a wall apart & rebuilding it.