First navigate to the Training Center from the left navigation menu. When you navigate to the Training Center, you will be taken to the Workouts page. This is where you can find all the workouts that you (or someone else) already made.
The building blocks of Workouts are Activities, so if you want to build a workout, you will first have to make sure you (or someone) has already entered the Activities (aka exercises) that will constitute the workout. To do this, select "Activities" tab.
You will find yourself on a page with a list of exercises. Before you add an activity, please take advantage of the search features to make sure the activity doesn't already exist. Click here for how to search for Activities.
Once "Add New Activity" has been clicked, you will find yourself in the Add Activity screen.