You can create your own game within which to make a character, and then use the Character Vault to move it into a game to which you have been invited. If you have been invited into a game first (usually the more likely case), the GM will probably need to create and assign a blank sheet to you, which you can use to build a character. Assuming your game uses the D&D 5th Edition by Roll20 Sheet, you can use the charactermancer to do your building.