To make an audience, you first need to make a group. In the Customer Relationship Manager, click on the Audience Management tab. You will see two options: Create New Group and Create New Audience.
Clicking Create New Group will allow you to give a group a name. Once you've saved the group, you can choose to either click the gear icon in your new group and selecting New Audience, or click the Create New Audience button.
The only difference is that if you choose to create an audience from the gear icon, the audience will be automatically assigned from the group. Otherwise, you'll have to manually assign your audience from the dropdown menu on the top-right of the page on the Create New Audience page. Name your audience and describe them, and choose whether or not to make that description visible.
When you're satisfied, save your newly-created audience.