I would recomend not creating a llb. The llb was created in the days of Win 3.1 when file names were limited to the 8.3 format. Since Win 95, long file names were allowed and the need for a llb was reduced. Problems with llb's include incompatibility with source code control and if an llb becomes corrupt, none of the VIs in it can be accessed (experience talking). I do on occassion create a llb for distribution purposes but I expect them to be converted to files after they've been received.
With all that said, if you really want to use llb's, when you save a VI, you'll notice a button called New VI Library. Click on this to create a llb and then save the VI to the llb you created. If you already have a VI, just use the save as function to save it to a ll
b. Chapter 7 of your LabVIEW User Manual has a section on llb's and how to manage them.