Click the 'New Feed' button in the Feed tab's button bar, choose 'New' from the 'Feed' menu, or hit <ctrl><enter> while the 'Feeds' tab is active to create a new blank feed.
Fill in all the required fields on the 'Feeds' tab, then create at least one new item on the 'Items' tab.
Save your new feed by clicking 'Save As' from the 'Feed' menu.