To create a team visit the "My Teams - Create Team" page.
Enter your team name, select a jersey and hit the "Create Team" button.
Make sure you check the required number of players and positions of your team. This is different per sport but you can check where it says "Team Format" on the image below.
Or when you are on "Field View" you can see all the positions on the field itself which are needed to form a team.
Don't forget you that you have a certain budget for your team which is called "salary cap". In this section it also shows the "available" money you have left to spend on your other players.
Make sure you fill up all positions on the team and then hit the Save button.
You can create as many teams as you want. For sports like NHL you will need to create a new team for each new contest date, as only certain players are available on certain days.