Layers are very similar to pages, with the difference that they can be displayed on top of pages, and can be stacked on top another in various combinations, depending on your needs.
To add content to a layer, first select it from the 'Layers' tab. By default a layer is empty. Once selected, you can drag'n'drop components from the component palette, and design the content as with any other page.
Pressing 'Escape', when no component is selected, will close the layer. The same will happen if you click again on the layer in 'Layers' list, or if you click the 'Home' icon in the opened layers breadcrumbs.