From the "Views - CmapTools" window:
Click File, then New Folder...
You will now see the New Folder window in which you can enter the Folder Name (required), and other optional attributes for the folder.
Click the OK button, and the new folder will be created in the Views window. This new folder will be placed in the currently selected directory in the Views window. If no directory is selected, it will be placed at the root of the current view.