The Notebooks feature is a Preview Feature on the current version (2.x) of Gospel Library for Windows. You can access preview features by going to the app's option's pane, then expanding the "Advanced" section, then turning them on. This will enable the Notebooks feature (via the annotations pane, which itself is a preview feature) and Tags. Preview features are incomplete features and are only available "as is".
Alternatively, if you're on Windows 10, you can download and install the beta of the new version of the app. There, Notebooks, the Annotations pane, tags, and even links, journal entries, and a number of other features are already available. You can learn more about the beta here:
https://tech.lds.org/wiki/Gospel_Library_for_Windows_10