Preface: the JIRA documentation is among the worst I have ever seen.
Filters and subscriptions can help you deal with JIRA by notifying you when specific things happen.
This is twisted, but the only way to create a filter is to first do a search, and then save it. There is no “create a filter” or “add a filter” anywhere in the interface.
A subscription is basically a cron job for JIRA to search using a saved filter and email you the results, optionally only if there are results.
Start by going to the filters list and finding the filter you want to use in your subscription. Then click the “…” at the right end of that line and select “manage subscriptions”.
I think it’s self-explanatory from there.