Folders are assets that are used to contain and organize images, documents and webpages. When inside a site, the Site Content menu on the left is where your folders and their contained assets are displayed.
\uD83D\uDCD8 Instructions
In the Site Content tree on the left, click on the folder name where you wish to create the new folder.
Look for a red plus sign in the topmost header area of the page, and click on Add Content.
Inside the Add Content menu, select New Folder from the dropdown menu.
Select a folder by hovering over the asset name and clicking on the arrow (>) that appears to the right of the asset name. The contents of that folder will display on the right hand side of the page.