From the Administrative tab, under the Tools heading, click Manage PowerStandings and then Challenges.
From this page, you can see a list of all the challenges currently available in the system.
Edit and Delete work as labeled; they allow you to edit or delete challenges, respectively. The View link allows you to see any available results of a completed or ongoing challenge.
If you create a large number of challenges, you also might want to take advantage of the Search field at the top right of the page.
You can click Create New Challenge to create a brand new one, which we'll show you how to do next.