In /<your-modx-folder>/core/lexicon, copy the subfolder /en and name your copied folder appropriately. After a reload, the new language will show up in the Lexicon Management.
If you want to translate MODX to a new language, you should modify the copied files directly. Don’t forget to copy /<your-modx-folder>/www/setup/lang/en and to translate these files, too. It’s quite a lot of work (I translated MODX Revolution to German, so I know what I’m talking about

), so maybe you’d like to find some people to support you.
In case you want to contribute your translation to the MODX project, you’ll find some information on these pages:
http://rtfm.modx.com/display/community/Becoming+a+Contributor
http://rtfm.modx.com/display/community/Using+Git+and+GitHub
http://modxcms.com/forums/index.php/topic,50565.0.html
Cheers,
Jan