Login to Ad Manager. Scroll down to the bottom of the page and click on:

Click Zone Configuration on the next page:

Make sure you're in the right web property. If you're not, just click on the drop-down menu and select the property you wish to work on:

Once you have the right property selected, there is a form next to the zones for that property:

Fill in the name, url and click the check box next to Is Active and click the Save button:

The new zone will appear on the left in the zone list, and you can then add ad positions and sizes: