It's there, you have click on the TITLE BAR, the one that says "Radio" in the upper left corner and is just above the station list's sort columns. You either can right-click anywhere on the title bar, or left-click on the down-arrow next to "Radio" on the bar, to see the menu with "New Station" as a choice. If you've chosen to "hide" the header menu, you won't see the "Radio" and down-arrow, but right-clicking on the bar itself will still work.