New songs are created from your dashboard. Find the new song box near the top left of the screen. To create a new song all you need to do is type a title and click the plus icon. Don't worry if you're unsure about the title, its super easy to change it later. Once you've clicked the plus icon your new song is created and your taken to song editor... now the fun really starts!
If you're new to songwriting and need some tips on how to get started writing your lyrics, check out this article.