Select "Create Vault' from the dropdown next to the Polkadot Multisig logo.
Click "Add Vault"
Name your new vault
Select a chain for your new vault
Add addresses and choose a threshold. If the addresses have an on-chain identity, it will be shown here.
You will see a confirmation screen indicating the vault configuration, the signers and the threshold for the multisig, along with the funds required to open the vault.
The actual vault creation process will be a two-step process. First, the pure proxy will be created, and then the control of the pure proxy will be transferred to the multisig. Please keep the window open until the process is finished!
After that you will be sent to the dashboard for your newly created vault.