I'm getting a warning in Unity about trying to create a MonoBehaviour using the "new" keyword. How do I fix it?

Exactly like the title. I don’t know how to do the fix that it’s suggesting, so I don’t really know how to move forward. The error brings me here:

public class NewGame : MonoBehaviour {

    private Combat newPlayer;

    void Start()
        newPlayer= new Combat();

Combat is the name of another script

Your Combat class must be extending the MonoBehaviour class, in that case you need to add it to your object using AddComponent() or through the inspector.