It doesn't allow you to create a new club so much as edit over an existing one. You can start with the players of the club you have edited or you can assemble a new squad from a set budget by taking them from other clubs, Fantasy Football style.
i found it quite cumbersome and there is an issue with the icon version of the club badge, if you try to use a customised logo. So I didn't get past the set-up stage before I became quite bored with it.
I'm really enjoying it; the only thing I wish I'd done is unticked the box saying "keep club history" because my newly created club now has the records of Portsmouth. Eek.