From an open Cmap:
Using the left mouse button, double-click anywhere on the Cmap. (You may instead right-click anywhere on the Cmap and select New Concept from the menu that appears.) A shape will appear with question marks inside of it.
Type in a label to replace the question marks. Left-click on a white portion of the Cmap outside of the shape to set the label. The shape has now become a new concept.