From the Bookshelf page, select the + Create new title or series button to start a new project. 

A screenshot of the KDP Bookshelf page. The '+ Create new title of series' button is highlighted in green.

Choose the format you are planning to publish. If you intend to publish multiple formats, it does not matter which format you choose to begin with. Once you have completed the first, Amazon will use that information to auto-complete the other formats, which greatly speeds up the process. 

A screenshot from the KDP publishing process. The title is 'What would you like to create?' and the choices are:

Kindle e-book
Paperback
Hardcover
Series page

As well as e-book, Hardback and Paperback you will see an option for Series Page. This is a product page where you can showcase all the books you have in a series. 

Clicking ‘Kindle eBook’, ‘Paperback’ or ‘Hardback’ will take you to the section of the website where you will begin entering all the relevant information for your chosen format, starting with the Details section.