If you have installed Microsoft Office SharePoint Server 2007 (MOSS 2007) in the “Beta-2-has-been-released-yeah!” rush and didn’t read any documentation or didn’t watch any webcast, you’ll probably notice that some items have moved compared to Beta 1 and Beta 1TR. I “lost” the menu item in the SharePoint Designer that opened the wizard to create a new workflow. After a couple of minutes I discovered the new location, so let me share that with you. First of all: open the site on which you’d like to create to workflow in SharePoint Designer (File menu, Open Site). Next, in the File menu, click New and select Workflow. Tadaaa!
Alternatively you can use the Common toolbar as well:
FYI: if you don't see the workflow menu items etc, you've probably enabled the Contributor Settings, see this post for more information.