After selecting the Indirect activities menu you get the list of activities.
Select the activity you want to use by clicking on it. This opens the dialogue to start the job. Once the job has been started, the list of activities is updated, where you can find the started activity at the top with an icon to easy identify the change.
Please note that you can not stop the indirect activity job. This is standard D365FO. In order to end the job, you need to either clock out or start another job, then your indirect activity is automatically stopped.