If you have the User Admin role you can set up new users via the My Users screen.  If you have the right role you will see a + button in the grey Action menu.  

Remember that setting up a user is only half the equation - you also need to make sure you set up the right role management.  An easier way to achieve this is to find a user that has the same access settings, and from the Action menu click on 'Duplicate User'.  This will create a copy of the user complete with their role management settings.  All you need to do next is add the new users name and email address.