A Folder (also known as a Directory or Sub-Directory) is a way of organizing
files and other folders. Here's how to create a folder.
1) Arrange your application windows so you can see this document and
also see a large-ish part of the desktop. (Click
here if you're not sure how to arrange windows. Clicking on this
link will cause another browser window to open. Read through / practice
that and then close that window and you'll be back here.)
2) Put the pointer on the desktop where you want the folder show up.
3) Do a right-click and go to New menu in that appears.
Notes:
Most all mouse clicks we talk about are Left clicks, that is, clicking
the mouse button on the left. This may be your first use of the Right
mouse button.
Here is what a right-click looks like:

Clicking the Right mouse button will, in general, generate a pop-down
menu. This menu will change depending on what the pointer is over when
you do the right click. (This is called "context sensitive".)
4) When you do a Right click on the desktop, one of the menus is New.
If you put the pointer over that menu it "cascades" to a number of options,
one of which is New Folder
5) Highlight the New Folder menu item and, to select that menu item,
do a Left click on the mouse. (You use the Right click to generate
the menu but a Left click to select an item on a menu.)
All this looks like this:
You can now drag this folder onto another folder, drag files and folder
onto this icon, etc.