Roles are created in the same way that Circles are created: through a Governance Meeting or Asynchronous Proposal (for premium users).  In GlassFrog, Circles are a special kind of Role.  

To create the Role, open a Governance Meeting.  Add an item to the agenda.  From the agenda item, select Add/Edit Role and then New Role/Circle:

Give the new role a name, and one or both of a purpose and accountability.  After that you will just have to press the "Accept Proposal" button at the bottom, once you have gone through the governance process and the Facilitator has stated that the proposal has been accepted.

Premium users can also create roles through Asynchronous Governance Proposals.  See:

How do I create an asynchronous governance proposal? (Premium)