A worktree can be seen as an additional checkout of a Git repository (cf. user-manual man-page).
Use the → option to manage worktrees. When selecting this option, a dialog pops up where all current worktrees are listed. The first entry is the main repository. It cannot be deleted because it contains the .git-folder with branches. All other worktrees use that .git-folder for book keeping. To remove/lock/unlock a worktree, right-click it and select the desired action.
To create a new worktree, specify a folder. By default for the path the main repo path is selected. Modify that to your liking. For example from C:\Users\jdoe\TortoiseGit to C:\Users\jdoe\another-worktree. To specify which revision is checked out, select HEAD, a branch, tag, or a concrete commit. A branch can only be checked out at a single worktree. Alternatively use Force to check out the branch twice, but this is not recommended.
Check git-worktree(1) man-page for further details.