Unfortunately Kicad has inherited a quite unfriendly and non-obvious interface, although I find other packages like Eagle have an even less obvious interface.
There are some things Kicad could do to improve it, but the devs are not inclined to rework existing features, or add features just to make the interface easier. For example, a "Create New Library" would help users a lot, even if the menu option does absolutely nothing in the code.
The Preferences->Component Libraries dialog is pretty terrible, the relation between search paths and libraries is not obvious. And there is no link there to Create a new library.
So I feel your pain, it took me several days or even weeks to first get to grips with Kicad. However, the Getting Started guide is quite comprehensive and should be up to date. It is worth working through it.