What dialog box do you access to create a new filtering scheme?

To create a new filtering scheme, you need to access the File > Document Properties dialog box. From there, you can go to the Filtering Schemes tab and click New… to name and create a new filtering scheme. You can also change the filtering scheme for a certain page from the menu at the top of the Filters panel12. References:

Filtering Schemes

Details on Filtering Scheme Properties

Spotfire Filtering issues

Changing the filtering scheme to use on a page