The option to create a clan is located on the Clan screen. After you reach the minimum of 500 trophies you can click on the 'Create' button. A window will open where you can set your clan's details such as name, description, clan type etc. Creating a clan costs 1000 Coins.
You can change clan details later on, except for the clan name. Please note: the clan name cannot be changed after the clan is created.