I am using a section in my model that I cannot find in the STAAD.Pro section database. What should I do ?

If the shape is a standard one like Wide flange, Channel, Angle, Double Angle, Tee, Pipe etc. you can define it using the user table option. To do that go to Tools > Create User Table > New Table and choose the appropriate section type to create the table. Choose Add New Property and you will get a parametric form where you can key in the section dimensions. Click on the Calculate button to let the software calculate the properties based on the input dimensions. Sections defined as above can be assigned through the User Table option available within the Properties- Whole Structure dialog box

Alternately you can add the section directly to the STAAD.Pro section database. The procedure for doing that is documented at:

Add a New Section to the STAAD.Pro Section Database

The advantage of the former method is that the software calculates the properties for you whereas in the second method, one needs to enter the properties like Cross Section Area, Moment of Inertia etc. manually. The advantage of the second method is that the section becomes a part of the standard section database and can be used for other models/projects. If the section needs to be used frequently across projects, using the second method may make more sense.