This took me awhile to figure out when I first started Unity but it is pretty simple. If you haven’t already add a light source to your scene such as a directional light and then with the light selected go into the inspector view and where it says flare drag and drop the flare that you want to use into it.
Light sources have the problem that they always emit light if the lens flare is supposed to be on and thus they also eat ressources.
You can also simply create a lens-flare and add a lens-flare component to an empty object. Then put the lens flare into the coresponding slot in the lensflare component. Voila: lens flare without a light source
Just in case you need it
Also read the reference manual on it. There you can see how to create lens-flare materials yourself.