Open the Map menu at the top of the screen and select Create Legend
All the layers in the current map window will be displayed in the Legend Frames panel on the right hand side, remove any that you do not wish to appear in the legend. You can also reorder the layers using the Up and Down buttons. When you're happy with your selection press the Next button to move to the second step in the wizard.
This part of the wizard allows you to change the layout and set up of the Legend. Feel free to play around with the options and use the MapInfo help to discover what changes you can make or just leave the default settings. Click Next to move on to the third and final step.
The final step allows you to set which attributes to label the colours in the legend by; it is important to get this right otherwise the legend will not make any sense. To change the labels you need to use the 'Label styles with...' drop down menu. You need to repeat this step for each dataset shown in the Legend Frames panel on the left hand side.
Click Finish to create the legend, which should open in a new window.