To create a new MIDI track, choose Session > Add Track/Bus. In the Add Track/Bus dialog, pick MIDI Track from the combo selector at the upper right.

You may decide to use a track template if you have one. You may also know the instrument (a plugin that will generate audio in response to receiving MIDI) that you want to use in the track. The Instrument selector will show you a list of all plugins that you have which accept MIDI input and generate audio output.