In the 1st step of the creation of your search, you have the option to choose Client and Campaign. However, the Campaign menu is unclickable until you choose the Client.
So, in order to create a campaign, you must first select a client (or create a new one), and then add a new campaign for them, by clicking on the plus sign in right-hand side of the “Campaign” dropdown menu.
Alternatively, a new campaign can be created from the “Clients” page (accessed by clicking on the third icon from the top in the left sidebar), selecting a client from the list, and clicking on the “Create new” button within the “Campaigns” interface.
Also check out: How do I check the status of my campaigns and searches in Dibz?