The add list icon can be used while in the list or views pages in the Dashboard. From that point a template can be chosen or a list can be created from scratch.
Either click 'New List' with the (+) icon to add a new list from scratch, or pick a template from the template categories to pick a premade template.
You can enter a name, description and category for your list. This is not only meant for yourself to find your list later in the sea of many lists, but also to make sure your colleagues can find it.
Now you can add your own fields and data; move on to the next tutorial to learn how that works and what all the different field types have to offer.