After you've clicked the + button to create the playlist, you'll see that the name of the new Playlist is editable. To give the playlist a name now, just begin typing and hit Enter or Return to finalize the name. If you don't give it a name, the playlist will be called--at least for now--Playlist.
You can always change its name later, too. In that case, single click the name of the playlist in either the left-hand column or in the playlist window and it will become editable.
When you've given your playlist a name, it's time to start adding songs to it.