Once a new name is entered, or you click something else, the Particle System's icon will update with a 'No Image' thumbnail.
Once created, the name of the new Particle System will be highlighted awaiting a new name. To create a Particle System, left-click the Add New button on the Content Browser, and select Particle System, or right-click in the Content Browser's Asset View, and using the context menu select Particle System. Links to more extensive documentation are provided when available. This document will cover the most common workflows of working with Particle Systems and the Particle System editor: Cascade.