From the Admin page, select the "Departments" tab. From here, you can search existing departments or create setup new ones. To create a new department, click the "Add" button at the top of the page.
Only users with admin access can add departments. Enter the department name and primary department approver. Travelers can be added to a department here or from the departments page. Department approvers can also be travelers in a different department. This can be useful for complex approval processes. When complete, click "Save" at the bottom of the screen.