Perhaps you have already used GnuPG, Enigmail, or any other OpenPGP software in the past, and you generated a key pair in that occasion. In this case, you might want to use your existing key pair in this installation of Enigmail. Make sure you remember the passphrase of your old key pair, otherwise you will be unable to use it.
To import your key pair, choose File → Import Keys From File and select the file containing your key pair. Your key pair will be imported for you to use it.
If you never had a key pair (which would be the usual case for an inexperienced users) you need to generate one, and it's time to do it now. Don't worry; this is easier than it sounds, and how to do that is explained in the next Section.