After you've created your Info record (ie. Lead) in Mercury and that turns into an actual opportunity, you'll need to Convert that Info record into a Vacancy.
Navigate to Info and then click on the Name of the record you want to convert into a Vacancy.
In the Info record, click Convert in the ribbon bar.
The Info record will now be marked as Inactive and read-only. Within the Info record, there will now be an associated Vacancy. Within the Vacancy record you can manage all of the remaining data in order to start getting Candidates.
You can also now click Vacancies and find the record.