If you're with the Feds your Fleet Ambassador is near Commander Balt who you should have spoken to early on for an Admiral Quinn mission. She's in the same area as the bridge officer seller and bridge officer trainer. She's the one closest to the turbolift door.
In order to create a fleet you must all be online (which is a pain) and in the same instance and you must be teamed (click on each person and select invite to team). You must have at least five people in your team to create a Fleet.
Which brings up a side question -- can you have a Fleet with more than 5 people in it? Can you have a Fleet with fewer if someone drops out?