Your profile in Salesforce may not be properly configured to allow you to create campaigns. To check for this:
  1. Next to your name in the top right corner click the down arrow and then "Setup"
  2. On the left side under "Administration Setup" click on the arrow next to "Manage Users"
  3. Click on "Users"
  4. Click on your name
  5. If the box is not checked next to "Marketing User" you will not be able to create new campaigns. Click on "Edit" and then check the box next to "Marketing User" and click "Save"
Now when you go to the "Campaigns" tab, next to "Recent Campaigns" you should have a "New" button that will allow you to create a new campaign.