To set a featured image, select the page you wish to add one to from the Pages dashboard or by selecting Add New as the process is the same.
Once on this page, select Set Featured Image located on the bottom right hand side of the page below the option Page Attributes.
This will then take you to a page similar if not the same as the one below.
From here, simple select the image you wish to have as your Featured Image from your media library, or upload one from your computer files by selecting Upload Files. Once you have done this, simple select the blue button labelled Set Featured Image located at the bottom right of your page.