To create a Content Policy, you first need to create Classifiers. You can assign more than one Classifier to a Policy, but only one Policy to a Collection.
First, click on the top right-hand corner where your account name is. Once that menu is open, click "Integrations".
Now, within Integrations, on the left-hand side of the screen click "Content Quality". Here, you will see the Classifier menu. Click "Add Classifier" and begin building your Classifier!