In order to create a new Prospect you will first need to create a new Contact.
On the Contact Details section fill out as much information as needed.
The most important fields are First and Last Name and Email address. You will not be able to create a Prospect Search without an Email address.
Click Save Contact when finished.
When the page refreshes, you are ready to enter in your prospect search.
Click here for more instructions: Turning a contact into a prospect