Creating Modules is among the easier tasks in Canvas. Managing and organizing them will come later.
In the Modules tab, click + Module on the right-hand side (blue button).
Assign your module with a meaningful name including a unit number, a topic, and possibly more. It is important to keep your module naming style consistent throughout the year. Over time, you will have many modules to scroll through and consistency in naming allows your students ease of navigation to find the current material.
When a module is first created, it has no content. Think of it as an empty shell. It's a holding place where content will soon be built. It is also unpublished when it is first created.