There's plenty of iron oxide available on the surface of Mars--that's why it's called the Red Planet. So colonists would have no trouble getting ahold of iron for building stuff.
The problem is, iron's a lousy structural material. It bends too easily and it corrodes too easily. (Particularly on Mars, apparently!) Steel is a much better choice, but to make steel you need coal as well as iron, and from all we know about science, it's highly unlikely that coal deposits (or any other fossil fuel) will be found on Mars.
So what would be the most efficient way for a Martian colony establish heavy industry and infrastructure? Ship in steel from Earth by rocket? Ship in coal from Earth by rocket and build steel locally? Mine for other structural materials such as aluminum and titanium? Assume today's technology level, plus a little bit more that allows us to actually send people to Mars and keep them alive for an indefinite period.