This command is accessible both in file management and in archive management modes.
When WinRAR browses files on a disk, first, you need to select the files and folders, which are to be archived. Then run "Add to archive" command using either Commands menu, button "Add" on the toolbar or Alt+A keyboard shortcut. Select archive name and parameters in the Archive name and parameters dialog and press Enter to start archiving.
When WinRAR shows archive contents, you need first to run "Add to archive" command, then select files in the appeared dialog and set archive name and parameters as described above.