You need to Enable security and set the security realm on the Configure Global Security page (see: Standard Security Setup) and choose the appropriate Authorization method (Security Realm).
Depending on your selection, create the user using appropriate method. Recommended method is to select Jenkins’ own user database and tick Allow users to sign up, hit Save button, then you should be able to create user from the Jenkins interface. Otherwise if you've chosen external database, you need to create the user there (e.g. if it's Unix database, use credentials of existing Linux/Unix users or create a standard user using shell interface).
See also: Creating user in Jenkins via API