Before you can create tags, you must create “tag groups” to contain them. Each tag group holds a unique set of tags, and lets you define a custom set of fields that should be available to tags within the group.
To create a new tag group, go to Settings → Tags and click the “New Tag Group” button.
To assign tags to things, you must also create a Tags field. Each Tags field is connected to a single tag group. Whatever you attach the field to (entries, assets, users, etc.) will be able to create new tags and create relations to any of the tags within that group.