Your terminology is a little confusing. If you want to create an instance of a type/class that is defined by somebody else then it is something like this.
Microsoft.SharePoint.Client.List newList = new Microsoft.SharePoint.Client.List();
//Or the shorter version
var newList = new Microsoft.SharePoint.Client.List();
The warning you're getting is because you're trying to assign null
to a variable that is not typed as supporting null. That means you're building newer (e.g. NET 6+) code and you have enabled nullable reference types (the default).