The Database Control Pro Setup Window can be used to create Command Sequences. Open the window at:
Top Menu Bar, Window, Database Control Pro, Setup Window

If you have Setup your Project you will see a list of your existing databases (if there are any).
Every Command Sequence is assigned to a database. You will need to have created a database to continue.

Now choose a database from the list and press the 'Sequences' button next to it. This will show you a list of the database's Command Sequences. To create a new Command Sequence, look for the 'Create New Sequence:' at the bottom of the window. Fill in the 'Name:' field with a suitable name for your Command Sequence (it must be different to the other Command Sequences in the same database) and press 'Create'. Wait for it to finish loading and you should see a message stating that the Command Sequence has been created.

Now you will probably want to add some functionality to your Command Sequence. Next to your Command Sequence's name press 'View/Edit', this will open the DCP Sequencer Window. More information on how to use the Seuqencer Window here.