I guess you want to create Magento Soap User.

First of all you should create Soap Role.
So please go to admin panel `System->Web service->Roles` (after EE-1.13: `System->Web service->SOAP/XML-RPC - Roles`) and Add New Role.

Next step go to `System->Web service->Users` (`System->Web service->SOAP/XML-RPC - Users`) and create new User. **User Name** and **API key** from this step will be used by other applications to connect Magento SOAP API.