Feature classes are housed inside feature class datesets. Think of feature class datasets as folders that house related feature classes. Before creating a new point, line, or polygon feature class, you'll need to navigate to the dateset you want it housed in or create a new dataset.
Once inside a feature class dateset you'll see the options for creating new point, line, polygon, or circle classes. After selecting one of these options, you'll be prompted to give your feature class a name.
After entering the name of your new feature class, you'll see options to edit the style of that class and add attribute fields. To learn more about styling and attributes please visit these respective sections:
Once you've finished creating a feature class it will become available to you via the 'Add Feature' menu on the map (blue '+' button).
You can edit the style or attributes of a feature class at anytime by accessing them via the Options panel.