Before you can add sprints to a project, you have to create a release.
From the Backlog view, click the running man icon on the top right of the screen. This will open the Sprint Planning Panel. When it is populated, you will see a list of all the sprints that have been created, past and future.
Select Add New Release.
In the Create a Release dialog, enter the Release Name.
(Optional) Then select the Start Date and End Date for the release.