this will show you how to add virtual desktops in osx lion and mountain lion
- open mission control (click the icon or do 4 fingers up on the multitouch pad)
- move the mouse to the top right corner of the screen, you will see half of a desktop with a + in it.
- click that half desktop with the plus in it as many times as desktops you need.

FAQ:
how do I delete virtual desktop spaces?
to see how to delete them, check this post
How do I stop them moving about all the time?
system prefs > mission control > untick ‘automatically rearrange spaces based on most recent use’

Can I move them about manually?
yep :) see this post
can you name your desktops?
not as of now, but it could be in a future update