Within the Datastore area of Settings (Home > Settings > Datastore) there is a "Create Datastore" button. This will prompt you for the name and slug (and option description) of your new datastore. Note that the slug auto-fills as you type the name. It is advised you leave this as it auto-fills unless you have a particular reason not to.
Once you Create Form, you will then be taken to the Configure Datastore screen. The only differences is that nothing has been set up yet. There is no search field, no fields on your datastore, and no bridges set up. You will want to do the initial setup in the following order: