To create a new Collection start by logging into your Admin Panel.
Next, click on the top level Collection right below the "Collections" heading.
From here, click on the "+" in the bottom left hand corner of the page and click on "New Collection", name the Collection and hit enter.
You can now begin adding media to this new Collection by either dragging and dropping media from other Collections or by uploading a new media item.
To create a new sub-collection click on the parent collection and click the "+" in the bottom left hand corner again. Media in the parent collection can be dragged into a sub-collection and be shared with both the parent and sub-collection.
For information on collection hierarchies and how user and roles are assigned to your sub-collections click here.