Right-click on the project and choose the Add->New Item context menu item.  Scroll down in the dialog, select the "DLINQ Object" icon and give it an appropriate name (in this sample I am naming it "Northwind" since I am going to be modeling the Northwind database).

Figure 2

This will add a Northwind.dlinq file to your project and bring up its designer.

Figure 3

You can now use the designer to map your data models and entities graphically, as well as setup associations to map relationships between them.