To create a Private Match, all you need to do is select Play (on the Main Menu) and then select Private Match. You will then see two options:
Create a Private Match. Here you can customize all the settings that you would like for your match, including if you want this to be between you and your Party friends only, or if you want others to be able to join via name and password (the Name/Password option also allows you to play with friends that are on a different platform. Check platform compatibility here).
Join a Private Match. If a player has created a Private Match with the Name/Password setting, select this option and type the Name and Password provided by the host.