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Under Shared libraries, select Create shared library. If you don't have that option, you may not have site-level permissions, but you can create a SharePoint team site instead.
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Name your library and select Next.
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While OneDrive is setting things up, enter names or addresses under Add additional owners or Add members. Then select Finish.
Back in OneDrive, wait a few minutes and refresh your browser. Look for your newly created library or team site under Shared libraries. If you cannot see it, select More libraries.