“Add Library” means add an existing library to the Kicad list. “Add Library” does not mean create library. To create a library you need to use “New Library”, but first you must create somewhere to place a new library.
These links explain how to create libraries:
https://forum.kicad.info/t/kicad-7-8-beginners-guide-to-personal-symbol-and-footprint-libraries/38738
https://docs.kicad.org/8.0/en/getting_started_in_kicad/getting_started_in_kicad.html