In order to create a new entity, click on a Project in the left side menu, and then click "Entities".
Once on the "Entities" page, click the "+ Create Entity" button on the top right side of the page
On the new page, you have to select a few options:
Data Source - it's the data source of your table.
Table - the table that you want to associate this Entity with. Each Entity has to be associated with one table.
Entity Name - the name of your entity, as you would name it in a database (usually small-case, with no spaces). It is used to uniquely identify this entity.
Display Name - the display name of the Entity, as it will be shown to the user in analysis, and everywhere else. Use a friendly name that's going to be easy to understand.
Description - describe this entity to offer more context to your colleagues.
Once you create an entity, you have to add a few fields. Please read the next section for more details about entity fields: Entity Fields.