But it seems to be an old fashion and also time consuming step.
Now here are two keyboard shortcuts to create new folder. So for this simple go to the directory or drive where a new folder is to be created.
1) Press Alt + F then after it press W + F. Now it is done. New folder would be created.
2) Press Ctrl + Shift + N and it is done. A new folder would be created.
So these are simple tricks to create a new folder using keyboard shortcut.