You will find the "User Roles" option in the project explorer. There you can add new user roles and configure existing ones. Every project has an 'MxAdministrator' and a 'Developer'.
For a detailed step-by-step description of how to add a new user role you can visit the 'How To': https://world.mendix.com/display/Howto/Configure+user+roles
Go to your project explorer and double click on 'User roles'. Select 'Add user role' and set a name and description.
For a additional information please checkout the Wiki