Collections are the 'bookshelfs' of your libraries, they divide them into different sections and enable you to organize your publications within the library.
When you open the relevant library you can click on 'Collections' in the dropdown at the right.
In the pop-up that appears you choose the name of the first collection and click on the blue button 'Create new collection'.
After creation of the first collection a new line will appear to create all of the other collections for this library straight away.
When you upload a new publication in a library, you will now also be able to select the relevant collection.