When you want to create a new block, you use the the links on the blocks overview page. In each panel's title there is a link to create a block in that particular panel. Once you do that, a new screen appear that let you choose which type of block you want.
The types you can use are these:
Article: single - show a single article. Adopts some of the visual options for articles
Articles in a category - shows all articles in a category in a simple list
Articles / Download functions - a box showing a selection of articles or downloads
Code: BBC - you can use any BBC-codes in this box
Code: PHP - use any PHP codes here. Omit the signs, they are not needed.
Menu - shows the menu you have created in menu manager
News - this shows the random news also shown in SMF "news"
Online - a simple list over all visitors
Recent topics - shows the most recent topics on the forum
RSS - a box showing a RSS feed of your choice
Search - a nice search box to search the forum
Shoutbox - block showing a shoutbox
Sitemap - this shows any menu manager item you have selected in a sitemap block
SSI - a number of extra functions from the SSI.php file
Stats - shows some statistics from your forum, along with a list over visitors.
Theme selector - a drop-down menu for picking another theme
User - all the user details, if not a user then a login box is shown
Once this is chosen, you will be taken to the edit block screen, for further editing of the block.