Right click on the empty space where you want the folder to be, and then click the 'New Folder' button. If there is no 'New Folder' button, see if there is a button called 'New' or 'New...'.
Press the Windows key + E to open Windows Explorer. On the left side of the window, select the drive or folder where you want to create the new folder; for example, the C: drive. Or, you can create a folder in the root directory. In Windows 11, click the New option in the menu bar and select Folder in the drop-down menu.