There are two ways to create a new deck:
Go to your Decks page and click the 'Create new' button.
This will create and open a blank deck that you can start adding cards to.
While browsing your collection, select the cards you want in the new deck. Click the 'View Selection' button and then the 'Create deck from selection' link.
This will create and open a new deck with those cards already added and linked. If you would like to add more cards, click the 'Build' link to the right of the deck's title.