Using Wikilinks
MediaWiki makes it very easy to link wiki pages using a standard syntax (see Links). If you (or anyone else) create a link to an article that doesn't exist yet, the link will be coloured red, like this.
Clicking a red link will take you to the edit page for the new article. Simply type your text, click save and the new page will be created.
Once the page has been created, the link will change from red to blue (purple for pages you've visited) indicating that the article now exists.
Usually this is the best way to create a new page, because it means that right from the start, the page will be linked from at least one other place on the wiki (and typically you will want to mesh it into other related pages later). If you are creating a new page without creating any link to it, you may need to ask yourself: Does this page really fit in with the topics already covered in the wiki? Also, how are you expecting visitors to find this page? Normally there is no reason to create a page without first creating a red link to it.