First, please always update to the latest version before posting. Next, any operation you do that results in the creation of any NGUI widget will automatically create the UI for you, so this step is not necessary at all.
Try dragging in one of the Control prefabs from the examples folder, or just hit ALT+SHIFT+S to add a new sprite. The UI hierarchy will be created for you.
Also, the menu option is "NGUI -> Create -> 2D UI".