Would you please check whether you are in right catalog or not by clicking on File > Open recent .
Please share the screen shot of your library module showing the left panel which includes the folder and collections panel.
You have created a new CATALOG..! not a collection! (looking at your screen-clip)
Re-open your correct catalog- "Lightroom 5 Catalog.lrcat" from the Menu > File > Open Recent.
Select the images again, click the [+] on the COLLECTIONS panel header.
Before you go any further, learn from this video tutorial-