Usually, you create a new image in Opacity by selecting the File > New menu item. You will see a new window where you can choose a template to create an image from. Templates start you off with a basic image that you can use as a framework for creating your own image. If you don't want to start with a template, you can choose the Blank template (from the General category). At the bottom of the window you will see a description of the template and an area to change the size of the image (some templates' size can't be changed). You can also create your own templates to save yourself repetitive work.
Another way to make a new image is by copying an image somewhere and using that for a new image. After you have copied the image, select the File > New from Clipboard menu item in Opacity to create the image. You can also drag images onto Opacity's dock icon to create an image from them.