I create a new branch in Git:
git branch my_branch
Push it:
git push origin my_branch
Now say someone mad
For what it is worth, if you are trying to track a branch that already exists on the remote (eg. origin/somebranch) but haven't checked it out locally yet, you can do:
$ git checkout --track origin/somebranch
Note: '-t' is the shortened version of '--track' option.
This sets up the same association right off the bat.