To setup an environment you have to have deployed a version of your app. You can check how to deploy your app by clicking here.
To create a new environment go to your app dashboard and click the "Create a new environment" button.
You should be here:
Note: Environment variables change depending on the app platform.
In this form you should give your environment a name, select a version to deploy and complete all the required environment variables (this will change depending on the platform you're using). You can also add any other environment variables you are using.
Once you've completed everything click on Create Environment and wait until your environment creation has completed successfully!