There are varying qualities of roads:
The type of road effects the speed of travel along it, and also the types of vehicles that can use it.
To improve a road, click the improvement button on the location page. The road can then be upgraded to the next level.
If an improvement project is started at one end of the road, the town at the other end will not get the option to improve that road. They will not see your improvement project either. All resources must be added (and all the work done) at one end.
Also, road improvement projects cannot be cancelled once started, and must be completed from the end that initiated the project.
Having a wheelbarrow in your inventory will double your speed on the road improvement.