Navigate to the desired location of your folder (My Documents, etc.)

Either:

• Right-click on empty space and select New > Folder

• Click Create new folder in the sidebar

Navigate to the desired location of your folder (Documents, etc.)

Either:

• Right-click on empty space and select New > Folder

• Click Organize > New folder

From a Finder window, click the gear button at the top and select New Folder.

Alternately, CTRL + click a blank area of the finder window and select New Folder.