I am a bit confused, are these the steps you are following?
To add a volume
In the Administration Console, expand the Enterprise Vault site until the Targets container is visible.
Expand the Targets container.
Expand the File Server container to show the file servers that have been added.
Right-click the file server from which you want to add a volume and then, on the shortcut menu, click New and then Volume.
Work through the wizard to finish adding the volume.
If yes, could you post a screen shot?