To make a terrain, first select the directional light, then head to the terrain editor.
You can find the terrain editor on the right hand side of the editor usually located on the bottom reel of tabs in the bottom right.
On the terrain editors first tab called "creation". You will see the world size options and a generate button.
Click the generate button to create the terrain tile and then use the other tabs in the terrain editor to edit, paint, deform etc....
Hope this helps