Collections are added from the collection management interface which will usualy be the second tab on on the item management screen.

To add a collection simply navigate to the collection you wish to add and click the '+' button at the top of the column where you want the collection to be added.

When you press the add button you will be taken to the collection add form, which depending on the configuration of your site may have many properties or simply just a url name.

For more information on using this form and any other interfaces contained within it please see item management.