You aren't able to create or import a wallet on the Phantom desktop platform.
Instead, you are only able to connect an existing wallet that you already own. Some of the wallets that you can connect include:
The option to connect injected wallet like Rabby or Tally will only be available if you have installed the browser extension.
To connect a WalletConnect-compatible, you will have to scan the QR code that is shown on Phantom.