You must create an empty OpenVMS directory (by using
  the DCL CREATE/DIRECTORY command), or direct CMS to
  create a directory, to contain the CMS library to
  be created.  You then create the library in that
  directory by following these steps:

  1. Pull down the File menu.
  2. Choose the New menu item.  This invokes the New
     submenu.
  3. Choose the Library... item from the submenu.

  The New Library dialog box appears, allowing you to
  specify the directory and options for the newly-created
  library.

                         NOTE:
         Once you create a library, you must access the
         library exclusively with CMS commands.  If a
         library is accessed by means other than CMS,
         unrecoverable library corruption may result.