Click the hard disk/partition letter that you want to create the new folder in - then go to File>New>Folder - name it as you wish. This method can also be used to create a 'subfolder' - click on the existing folder that you want to create a new folder in - then go to File>New>Folder.
In Explorer highlight the folder/drive you wish to make the new folder
listed under.
Click on File... New.... Folder. Name the new folder something other than
"folder".