Here is the step by step procedure to define a new Linear Elastic Orthotropic material.
1) Right Click on any SOLIDWORKS database material and copy it.
2) Right Click on 'Custom Material', select 'New Category'
3) Rename it. In this case, I renamed it to "New Linear Elastic Orthotropic Material"
4) Right click on new added material and click Paste.
5) In the Properties tab, under drop down list of 'Model Type', select "Linear Elastic Orthotropic"
6) Input values of your material properties in different directions or planes.
7) Furthermore, if some of the material specs are depended on temperature, you can input then in the second tab: Tables & Curves, as follows.
8) You can input them manually (in order to add another row, double-click on the last point number) or you can copy and paste them from a spreadsheet data points.
Please let me know if it answers your question.