Clicking "Playlists" in the top toolbar will show a list of all your custom playlists.
Click a list entry to show the playlist in the details panel where you can activate it.
Click the "New Playlist..." button to create a new playlist.
In the "New Playlist..." dialog enter the name of your new playlist. After you click "OK" the new playlist will be shown in the details panel:
Use the toolbar to the right of the playlist name to start or stop the playlist, make it a favorite or unfavorite it, export all tracks of the playlist to iTunes or into a folder or delete the playlist it.
To change the playlist name click into it, change the name in the appearing textbox and press enter.