If you want to add a new lesson to your course it's easy.
Then select the course you want to edit. Once you've done that you'll arrive at the course creation page which looks like this:
(You can also find this page when you are going through the Membership Wizard)
Navigate to the module that you want to add the new lesson into. Then click on the button that says '+ New Lesson'.
Once you've done that a new lesson will appear at the bottom of the module. You will then be able to rename that lesson and add content into it.