To create a new folder, click on the 'Create Folder' button on the toolbar at the bottom of the Documents page.
This window pops up:
Enter the name you want to use, and click on 'Confirm'.
The name must follow the usual rules for a directory/folder: between one and 32 characters, upper- and lower-case letters and numbers are accepted, as well as underscore symbol ( _ ).
Some systems allow space and period (full stop), but it's best not to use these.