Short answer
From the Index Management tab, click Create Index, name it, and save.
Full explanation
Creating a new Index allows you to organize documents for different topics, clients, or projects. To create one:
Open the Index Management tab from the left-hand menu on the main screen.
Click Create Index.
Enter a name for your new Index.
Click Save to finalize.
Your new Index will appear in the Index list, ready for you to upload documents or set permissions for other users.
Tips
Choose clear, descriptive names so you can easily tell your Indexes apart.
You can manage and delete Indexes from the same Index Management tab.