its quite simply really, there is a leagues section on right hand side of page, go to that, then go to create leagues. Once you have done that you will get code for the league. Send the code to all your mates and they can join that league. Easy peasy
To quickly answer your question, just go to fantasy.premierleague.com (renew your profile from last year and set up your team. Then you can go to the leagues section and it will give you the option to set up your own private league.
Have fun!!