To create a new game, select 'New' from the game menu. You can choose whether you want to create a completely "empty" game, or a game based on the template. Once you have done this, select the directory you want the game to be in (this directory must be empty).
The template game is a game with only one room, and all the menus, keys etc. already set up for you, along with names for most variables used and comments here and there. It is recommended you choose this option, as you can jump straight in and start programming your first room from here. For more information on the template game, see the readme.txt file in the template directory.
When you create a game, only the data files (and source code, if based on the template game) are placed in the directory you chose. You can not run the game yet because there is no interpreter there. You will need to copy the interpreter files from another game. The interpreter must be version 2.915 or higher (but not version 3). You can usually find out the version number of an interpreter when you enter debug mode in a game.
See the files used by AGI section to see what files you need to copy into the game directory. If you copy the files into the template directory, then whenever you create a new game from the template these will be copied also.
Note: If you are using a newly written AGI interpreter (although there are none available at the time of writing), then the version number will probably be different but new interpreters should support this format. The files you have to copy over will also be different.
You can get an interpreter from one of the AGI demos that are available (there are some on my site). I have recently written to Sierra asking permission to be able to distribute the interpreter, but I have not yet received a reply on whether or not it is ok. This is why I have not included an interpreter with the template game.