Having selected In App Message from the campaign creation menu you will be brought to the campaign creation workflow. You will work through a number of tabs to create your campaign. You will setup options like the channels you want to use, add content to be sent on those channels, set the trigger event,set the target audience and schedule the campaign to go out.
The following tabs are used to create your In App Message. Click setup to get started or the section you need more info on to find out more.