When creating a new Animation Blueprint, you will be asked to pick a valid Skeleton for it to target.
Either Right-click in an empty space in the Content Browser or click the Add New button.
On the context menu under Create Advanced Asset, click Animation.
In the expanded menu, select the Animation Blueprint option.
You will then be prompted to specify which Skeleton to target for the Animation Blueprint. Select one and click OK.
You are also given the ability to select a Parent Class for the Animation Blueprint to use.
Most of the time you will not need to select one and can use the default class. However, based on your circumstances, you can choose one if you need to.
The new asset will automatically be created in the Content Browser.
You can also create an Animation Blueprint that targets a specific Skeletal Mesh or Skeleton by Right-clicking on it in the Content Browser.
Right-click on the Skeletal Mesh (or Skeleton Asset) you want the Animation Blueprint to target and click Create > Anim Assets > Anim Blueprint.
The Animation Blueprint is created in the same folder as the target Skeletal Mesh asset, with the name ready to be edited.
If you want to, type a new name for the new Animation Blueprint and press Enter.
If you are not happy with the default location, drag the new Animation Blueprint to another folder.