After choosing the kind of entity you want to place, press on a block in the camera view and it will be created, or click on one of the 2D views to create a green small block(only seen in 2D view). Move the block around in all the 2D views to the place you want it to be in, after placing it press enter to create the entity where the green block is.
If you want to know it properties choose the select tool are choose the newly created entity, press alt+enter and the entity properties window will popup.
If you don't have any entities in your list then in the tool menu->option->game configurations include a fgd file.