You must be an organisation administrator to do this.
See this article for how to start the process of creating a new Layer.
Give the Layer a name.
Under Layer type, choose Location Layer.
Optionally, select a country. Doing so places no restrictions on the locations within it but will help with ordering it within the Layer Control and Organisation Management.
Click Save in the top-right to complete the process. You will be automatically taken the Layer Summary page for the new Layer.