The initial screen when you enter the Shipping Manager is the list of Shipping Types for your store. Every site should have at least one shipping type set up, unless you will not have any products configured to use shipping (for instance you only sell downloadable products. The table displays a summary of information about that shipping type: the name, the base shipping rate, handling percentage, if you offer in-store pickup, show an estimator, and if it uses drop shippers.
To add a new shipping type, click the Add Shipping Type button. Or click Edit to edit an existing setup and Delete to remove it. Please note that the delete will permanently remove the shipping type so be sure that you want to do this before using it!
The Add Shipping Type and the Edit button both take you to the Shipping Settings screen, where you will set up and configure that type of shipping. You may want to also visit the CFWebstore Blog for some articles and examples on setting up shipping.