Make sure that Iterations are enabled in your Workspace.
From anywhere in Shortcut, click the green dropdown button to start creating an Iteration. If you are on the Iterations page, the main selection will already be Create Iteration.
Enter a title, start and end dates, and an optional description. Click Create Iteration to create the Iteration.
Navigate to the Iterations page in the navigation bar (if you are not already there) to see the Iteration you just created.