From the Transport Dashboard you can simply add a new Transport by clicking the Add a Transport button.
Once clicked, you will be present with the following which simply requires a name for the Transport.
In the next step you will need to choose an appropriate transport type
The top row are dedicated for Flow Processing, the lower row is more aimed at direct delivery scenarios.
In the final step you choose whether to use a Flow Connector or if the transport will be part of a Direct Delivery