If the file doesn't exist you will be prompted if you wish to create it. If you do wish to create a new dictionary, choose Yes and you will be placed in the Create New Dictionary dialog where you may enter a description and copyright information for the new dictionary.

After you have entered your description and copyright information, press Enter to create the dictionary or click Cancel to not create it.

To get your dictionary set up with your vocabulary and writing style quickly, see Import Vocabulary in the Dictionary Editor.