To add a new issue type, you can click menu Admin->Team Projects->(team project name)->Issue Tracking->Issue Types and click Add button in the Issue Types window.

After creating the issue type, you can configure fields, workflow, form interface and notification settings for the issue type. For more details, please refer to:

Fields Management
Workflow Management
Form Management
Notification Management

Then you can create a issue with the new issue type. How to create an issue

Note: If you already have the Issue Tracking Explorer open, you will need to refresh the team project where you create the issue type (right-click the team project and click Refresh) to see the new issue type under Create Issue tab.