When you edit the monster click on the HP & DEFENSES section on the left hand side. You should then get in middle the details of that section. It starts with Initiative, etc... Starting after the section that contains the AC, Fort, Will, Ref, AP etc... you will see Auras, Senses, Weakness, etc... You may need to scroll down to see them. To add a new one just click on the plus sign and it will expand that section and give you a drop down list.
I appreciate your assistance, however, you can't add Immunity there. Unless I am dense tonight.
EDIT: I suppose I can use the Aura block and just label it Immunity, but that puts it in the wrong place on the monster block. Ah well it's a good work around. Thank you.