To have session types you first need to enable sessions in your OpenWater program. You can do that by going to Program Settings > Session Settings. Once on this page click to check the box for Enable Sessions.
Now you have additional options to enable general pool and to select which round to show the sessions menu for.
After making your selections click Save and Back.
In the selected round for your program you now have a Sessions tab where you can add as many sessions necessary.
Session types will be useful later when creating schedules. You can add session types as categories.