Before you can start using the Leads functionality, you must ensure the Leads App is active in your account. You can read more about Leads and how to activate it here.
Also, have a look at previous articles about how to collect leads either manually through the Dashboard, with a form on your website, or by connecting the app to Facebook.
Once the Leads app is active, you create sequences by navigating to the Campaigns section under Marketing, and creating a new Sequence. When in the "New sequence" screen, click "Sequence trigger", and select Leads as the trigger. Once this is done, you can create a sequence for any lead source or a specific one. Once you're ready, click Save to create the Sequence.
Once this is done, you will be able to create new Actions depending on how you want to nurture these leads. The article below helps you create these actions in a way that suits your business: