Add a new access level by clicking the New button in the toolbar.  Type in the name of the level (Joomla doesn't care what you call an access level).  Then you need to select which user groups will have the ability to see the content assigned to this access level.  In the example screenshot we see that the "Exams" access level allows access to the "Teachers" user group.  Any users in the "Teachers" user group will be able to view this content.

Access levels also apply to all other content in Joomla such as web links and contacts, as well as modules and menus.