Use the Create New Custom Object Wizard to create a custom object. The wizard is available from the context menus of the tree of folders that has the Root Folder at the top.
Custom objects are a general object for use by ISVs. They are non-versionable - you cannot check them out - and do not have content elements. Custom objects are persistable, they can be filed in a folder, and they do not support document lifecycle functionality.
Using Enterprise Manager, you can subclass the default Custom Object class by opening the Other Classes node, right-clicking the Custom Object icon and choosing New Class and completing the Create a Class wizard. Any subclasses you create in this way will show up in the Create New Custom Object Wizard's list of available classes.