The easiest way to add a layer is to pick one of the standard ones from the toolbar. Click on the rectangle shape and you will see the cursor change to a crosshair cursor with a little square in the top-right.
Now click on the canvas and drag to insert your shape. When you let go off the mouse the shape will be inserted and you can start manipulating it in other ways.
As you can see, the process of inserting is easy, but there are a few hidden shortcuts that give you some additional control. For example, you can hold down the shift (⇧) key to make your new shape square:
Similarly, you can hold the option (⌥) key to put the new shape’s center at the point of your mouse (instead of the top-left):
If you decide that you placed the origin of your new shape slightly wrong, you hold down the spacebar. While the spacebar is down you’ll be dragging the shape’s origin instead of changing its size: