To create a screen, press S or click the icon. You can place the screen freely on the canvas.
Once you have placed the screen, click on it to select it. In the right property panel, you can configure the screen name, and change the background (to a different color or even an image).
You can also set a screen to be an overlay. This means that the screen will be rendered on top of another screen. This is, for instance, useful if you want to build modal dialogs.