You start with a set of facts that are capable of supporting a claim. For example, you did not get a promotion, because your employer is prejudiced against women. This is less favourable treatment because of your gender, which is the basis for a direct sex discrimination claim.
The tribunal claim is created at the point that you submit an ET1 containing the allegation of discrimination. Until this happens you have not brought a claim.
The only way of creating a claim is to include it in an ET1 (although this can be done by amending the ET1 later, if the tribunal gives permission).
This is important because without a claim in existence the tribunal cannot find in your favour. They cannot decide the claim at all; there is nothing to decide.
Put like this, it sounds obvious. But it is fairly common for people to try to rely on allegations in grievance letters, inter-parties correspondence or witness statements to found a claim. This does not work; if you want the tribunal to decide something, it must be in the ET1.
This does not mean, however, that every fact you want to mention in the tribunal must be in your ET1. The basis of your claim (i.e. that your manager is a male chauvinist who didn’t promote you) must be there, but you don’t need to include every patronising remark he made over the last two years. Much of that detailed material will be brought in at the witness statement stage.