Tick the Show My Administration Tabs box.
This will make more tabs appear. Choose the Brands tab.
In the New brand field type in the text for the brand you are entering and click Add New Brand.
Click the Get My Brands button and then use Refine Search function to find the brand you just entered.
This brand will now be available to link to your products, either when you first create them, or when you are editing them at a later time.