Here are some helpful threads for making treasury's.......
http://www.etsy.com/help/article/82 ( Lots of information )
http://www.etsy.com/treasury/new ( The page you need to make a new treasury )
Be sure to open 2 tabs one for treasury and one for looking up items.
http://shmetsy.com/ ( When you're done with the treasury, make sure you send a convo to all of the featured sellers. Shmetsy has a built in convo sender for that also.)
http://www.craftcult.com/ ( To check and see if a item or a treasury you have made got to the front page )
If you still need help ask questions here.
Thank you Eva