Making a New Folder
On the Desktop
Right Click in an open area on your desktop (not on a folder or document).
You will see the following options.  Slide your curser down to New and then across to Folder. 
   

Click on Folder and a new folder will appear.   The name of the folder will be highlighted in blue so that you can just start typing and to name it.  

   

In My Documents

Click on My Documents and it will open. Click on Make a New Folder at the left and continue to name that folder.