Windows 7 added a very handy "New Folder" button in the top toolbar of File Explorer. I can no longer see it in Windows 10. Or am I missing something obvious?
For those who prefer the keyboard, pressing Ctrl+Shift+N immediately creates a new folder in the one you're currently viewing.
Make sure you're on the Home tab of the Explorer window's ribbon. It shows there on mine. Make sure you actually are viewing something that can have a folder create and you have permissions. The ribbon might be collapsed. Look under the close button in the upper right of the window for a down arrow. If its there click it to open the ribbon.
You can also make the New Folder button remain prominently visible when the Home ribbon is open: Click the tiny arrow in the top right corner of the Explorer window (next to the Help icon) and select Expand the Ribbon.