How do I create a segment in Garmin Connect?

Both the Garmin Connect "Segments" applet and the How-To section contain the same rather useless description. It begins with

• Choose an activity that includes the area you want to turn into a segment.

"Choose an activity" where exactly? What screen? What tool? What button (or whatever) do I press to "choose an activity"?

So far I was only able to find the map screen that appears when I hit the "Find segments" link in "Segments" applet on Garmin Connect. But switching to "Activities" mode on that screen only results in "Sorry. We did not find any results from your search. Try again." message.

Then it says

• Select "Create a Segment" below the activity map.

Where do I find that "activity map" that has "create a Segment" below it?

• Choose the segment start and finish points on the map or the elevation chart.