Log into your AWS Console and click on Lambda under the Services tab.
Under Functions you'll be able to Create a Lambda function using the same-labeled button.
You'll be shown a screen where you can select a blueprint. These are simply starting points to existing Lambda functions for quickly starting out with Lambda.
On the next screen you can configure any triggers you'd like to use to "set" this Lambda function off. You can choose between no triggers (through manual setup later depending on your task), API Gateway (for creating a serverless REST client), Alexa Skills, or a plethora of other others to fire off the function you'll create.
You'll finish configuration on the next screen by setting the Name, Description, choosing a Runtime, opting to edit the function inline, upload a .zip file, or upload a file from Amazon S3, choose a Role (useful for permissions-based interaction between AWS services), set the memory and limits, and ready your app for live use.
Lastly, you'll review your function and create it. Since Lambda utilizes the Pay-Per-Use model, no chargers are incurred until you start using your newly created function.