Creating class sections for your students to join is done from your teacher dashboard, at https://code.org/teacher-dashboard#/sections. Note that you'll need a teacher account to create sections, which you can sign up for at https://studio.code.org/users/sign_up.
From your teacher dashboard's section page, hit 'new section' at the top to make a new section.
You can give your section a name, designate a grade (optional), and select a course to be assigned for your students. You'll also see checkboxes for options to turn on pair programing and stage extras for students as they work through lessons. You can read more about these features here and here, respectively.
Note that the course assigned to a section is just the first one that students will see when they log in - students will always have access to all courses.
An important choice to make when creating a section is the associated login type your students will be using to join your section. Check out the next article in the getting started series, Making Accounts for Your Students.