You can convert the regular expression into an automaton using the Glushkov's construction.
The resulting automaton is non-deterministic, but you can find a deterministic automaton using the powerset construction.
However, the resulting automaton could have a size exponential in the size of the regular expression. There is no construction that always gives an automaton with polynomial size. For example, the minimal deterministic automaton that recognizes $(a\mid b)^*a\underbrace{(a\mid b)…(a\mid b)}_{n-1\text{ times}}$ has $2^n$ states.