It can be done only with Colony ship.
To create a colony you must colonize an unoccupied by another player planet. You send your colony ship to an empty spot in the “Galaxy” menu.
Upon arrival at the targeted coordinate, the ship disappears and your new planet appears on these coordinates. In the meantime, if the desired coordinate becomes occupied, your ship just disappears upon arrival. That why, it is good to check the coordinates few minutes before the arrival time. If there is a planet already, go to “Fleets” menu and order your ship to go back to your planet.