The activities are defined in projects; thus each of your projects can have different activities. You can define a new project by selecting "Project \ New..." from the menu. This will open the "Project properties" window for your new project. In this window you can set-up your new project, i.e. specify it's name and set-up the activity structure. This activity structure can always be modified later on to suit any changes to the project, but it is best to start off with a properly defined activity structure. A properly defined activity structure enables you to retrieve the desired statistical information from your project later on.
When you are satisfied with your activity structure, you will only need to worry about when to press the start and stop buttons. From then on you are good to go!