Click here. Sign into your profile. Scroll down and see where it says 'Create A Challenge?' Click that. On the right it'll tell you to enter a name (any name... make it up). Then the second option will open up- to select a gamemode (campaign, MM, etc.).
Then the third option unlocks. You get to choose how long until the challenge ends (as in, daily challenges only last 24 hours, get it?). Then click 'create challenge.' Easy!