A Region is a part of the country that could have one or many cities within in, e.g. West Midlands or Greater London.
Go to Admin, Geography and then select Region.
You will then see the list of Regions already created in the system. Click on Add Region to add more.
Enter the name of the region, select the country and save.
Note that countries are always a part of your base data set up so you should be able to find your country without setting this up prior.
Go back to the Regions tab to see the region you have just added.
Next step: Adding a City