Getting Here - Security Policies > Threat Prevention > Right-click Policy > Edit Policy > In the Threat Prevention section > click the (+) icon >

Or:

Menu > Manage Polices > New or Edit > In the Threat Prevention section > click the (+) icon.

Or:

Connect SmartConsole to the Global Domain > Security Policies Click (+) to open the Manage Policies tab > Click the Manage Policies link > click New > Select the Threat Prevention option > In the Threat Prevention section click the (+) icon.