Structure mode can be selected from the Modes menu, or using the "2" shortcut key.
In structure mode, hovering over a segment and right-clicking (or control-clicking) on the backbone of the protein opens a wheel menu, offering the choice of helix, sheet, or loop. The selected secondary structure type is applied to the segment. (Clicking on the background closes the wheel menu without changing anything.)
Structure mode also allows "painting" secondary structure. To paint structure, click on a segment and drag along the backbone. The secondary structure of the first segment is applied to each segment dragged over.
Secondary structure can also be set automatically using the auto structures tool. Auto structures looks at patterns of hydrogen bonds between segments to determine which parts of the protein are helix or sheet.