This feature access is restricted to the Administrator.

Go to my Account Company
Go to Custom Fields
Click on Actions, then New Value Set
Put each value on a separate line.

Once value sets are created you can assign them to a custom field.
Please note that you can have up to 500 picklist value sets in an organization - company account. Each value set, or restricted picklist, can contain a mix of 1,000 active values. Values can be up to 255 characters long.

Go to my Account Company
Go to Custom Fields
Go to an Object ( Contact, Relations). Create a new field then select a value set.
Select the value set format between drop-down list, check box, or radio button.
Click Save.