To add a Fictional League, click on the Add Fictional League button. A new entry will appear in the All Included Leagues box, entitled 'Fictional Baseball League':

Leagues added using this button are considered parent leagues. Affiliated (minor) leagues are added through the Add Minor League action menu on the right side of the page. See game universe terminology if you're unclear on the distinction between parent leagues and affiliated leagues.

Once your league has been added, you can click on one of the leagues in the All Included Leagues box on the lower left, then go to the right pane of the screen and customize the league settings for that league. Repeat that process as many times as necessary.