Same as the countries, currencies are usually predefined with the default SAP installation. You will have to create a new currency in very extraordinary cases. However, if you have such task, then you should follow official SAP Documentation. Next screens will give you very rough idea of the first step.
IMG Path: SAP NetWeaver -> General Settings -> Currencies -> Check Currency Codes
1. Transaction OY03
Click on New Entries.
Fill the necessary data.