On the bottom left, click on the button called "Add Library Folder"
In the window that pops up (which says "Create or select new Steam library folder")
- click the downward pointing triangle on the top right, this shows you a list of drives.
- click on the drive you want to use
- click on New Folder to create a folder (default name is SteamLibrary), name it and click okay (you must create a folder, you can't set the root drive)
- click Select. Your new Steam library folder should appear in the list.
When you next install a game, you'll have an option to "Choose location for install" (you can create a new library from there too).
Hope this helps.