If there is no Found Religion button, check the World Religions tab of the Religion Overview (click the Faith icon at the top of the screen) to confirm that another religion can be founded.
There are only a certain amount of religions that can be founded in each game. On a standard map this number is 5. If you are not able to generate your first Great Prophet quick enough, then you can't found a religion.
You have to click the find religion button on the great prophet screen. If there isn't a find religion button then all the religions are taken. However, you can still make a holy shrine with the great prophet and use the faith generated from the shrine when you get a religion to your cities.
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