Plan the story/issue/epic directly to release, sprint or kanban lane by selecting the release and possibly sprint or kanban lane name. Note that epics cannot be planned to sprints or kanban lanes.
The releases, sprints and kanban lanes are usually created and planned from the Product Backlog page. So the values available in the selection lists depends on which planning containers (releases etc.) have been created.
Preplanning containers are also created at the Product Backlog page. Use these containers to group stories etc. which are not yet ready to be planned for a release. When the story is planned to a release, it will be removed from the preplanning container.