To Create a new Lookup you must be in the DataPA Analytics Engine screen.

Ideally Select the System prior to creating a Link using the Tree view, this will preselect the System in the Wizard

Click on the 'New Link Icon on the toolbar.

The Lookup Wizard - Introduction form will then be displayed

OR ALTERNATIVELY...

Click on File (On the menu bar), and then click on New Lookup

This will also open the Lookup Wizard - Introduction form.