Custom objects are database tables that allow you to store data specific to your organization.
Navigate to Setup
1. Click on your Name in the top right of the application.
2. Select Setup.
Navigate to Objects
Click on App Setup >> Create >> Objects
Custom Objects List Page
To create New Object click the New Custom Object button
New Custom Object Creation Page
Fill in the required fields and click the Save button.
For more information see Force.com's Managing Custom Objects