You set them up like any other account/holding.
You cannot really differentiate them from any other holding of the same type. I have always found this annoying, as I prefer my investment funds to be displayed in the Portfolio Manager with the ISA holdings separate from the non-ISA holdings. Furthermore,
the "Tax Exempt" setting is only valid at the account level, so if you hold ISA and non-ISA funds at the same account (fund supermarket for example) you have to take extra steps to avoid the interest/dividends showing on the tax reports.
Cash ISA's can be treated like a building society holding.