Windows Explorer is the preferred file manager for creating folders. And, it
is hardly ever a good idea to operate on removable media directly from Word.
That said... how flexible removable disc operations are is going to depend
upon your version(s) of Word and Windows as well as your removable disk
hardware and software.
Using Windows 7, for example, I find that I can create folders on a
removable disk by right-clicking a blank area, and choosing New, and then
Folder. This works both in a Word file window as well as in Windows
Explorer.
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