The Valyrian roads are made of fused stone and raised off of the ground to allow for drainage. They are usually wide enough for 3 wagons to pass side by side and are extremely straight.

During one stop, he used the time to have a closer look at the road. Tyrion knew what he would find: not packed earth, nor bricks, nor cobbles, but a ribbon of fused stone raised a half foot above the ground to allow rainfall and snowmelt to run off its shoulders. Unlike the muddy tracks that passed for roads in the Seven Kingdoms, the Valyrian roads were wide enough for three wagons to pass abreast, and neither time nor traffic marred them. They still endured, unchanging, four centuries after Valyria itself had met its Doom. He looked for ruts and cracks but found only a pile of warm dung deposited by one of the horses.
_{A Dance with Dragons, Tyrion II}

There's no information on how the roads are made but since there are no cracks in them after four centuries and they are fused stone it isn't unlikely they are made from melting stone. Especially considering that dragonfire is hot enough to melt stone.

Stone does not burn, Harren had boasted, but his castle was not made of stone alone. Wood and wool, hemp and straw, bread and salted beef and grain, all took fire. Nor were Harren's ironmen made of stone. Smoking, screaming, shrouded in flames, they ran across the yards and tumbled from the wallwalks to die upon the ground below. And even stone will crack and melt if a fire is hot enough. The riverlords outside the castle walls said later that the towers of Harrenhal glowed red against the night, like five great candles...and like candles, they began to twist and melt, as runnels of molten stone ran down their sides.
_{The World of Ice and Fire, The Reign of the Dragons: The Conquest}

The Valyrian roads are made of fused stone and raised off of the ground to allow for drainage. They are usually wide enough for 3 wagons to pass side by side and are extremely straight.

During one stop, he used the time to have a closer look at the road. Tyrion knew what he would find: not packed earth, nor bricks, nor cobbles, but a ribbon of fused stone raised a half foot above the ground to allow rainfall and snowmelt to run off its shoulders. Unlike the muddy tracks that passed for roads in the Seven Kingdoms, the Valyrian roads were wide enough for three wagons to pass abreast, and neither time nor traffic marred them. They still endured, unchanging, four centuries after Valyria itself had met its Doom. He looked for ruts and cracks but found only a pile of warm dung deposited by one of the horses.
_{A Dance with Dragons, Tyrion II}

There's no information on how the roads are made but since there are no cracks in them after four centuries and they are fused stone it isn't unlikely they are made from melting stone. Especially considering that dragonfire is hot enough to melt stone and that Valyrians had dragons of course.

Stone does not burn, Harren had boasted, but his castle was not made of stone alone. Wood and wool, hemp and straw, bread and salted beef and grain, all took fire. Nor were Harren's ironmen made of stone. Smoking, screaming, shrouded in flames, they ran across the yards and tumbled from the wallwalks to die upon the ground below. And even stone will crack and melt if a fire is hot enough. The riverlords outside the castle walls said later that the towers of Harrenhal glowed red against the night, like five great candles...and like candles, they began to twist and melt, as runnels of molten stone ran down their sides.
_{The World of Ice and Fire, The Reign of the Dragons: The Conquest}