You need to go to “Section Manager”, which you can do by clicking on the “Section Manager” button on the main page of administrative panel, or by using the menu through “Content” -> “Section Manager”.
Note that you can return to the main page or the control panel of administrative back-end using the menu through Site -> Control Panel.
Once you are in the Section Manager, you will see a list of all the existing sections. Just click on the New button to create a new section.