Go back to the Level Editor window.

To create a new Blueprint class, click the green button of the Content Browser, labeled Add New, and select Blueprint Class:

On the next screen, you have to choose the parent class of the new Blueprint. For now, think of the parent class as the Blueprint type. The screen shows the most Common Classes, but if you need to choose another parent class, then just expand the All Classes option. After choosing the parent class, the Blueprint Editor will open: