You might take this organizational step so that you can segregate work photos from personal photos, for example. To create the folder, open Setup Menu 1, choose Select Folder, and then choose Create Folder, as illustrated here.

The camera asks for permission to create the folder; choose OK and press Set. The folder is automatically assigned the next available folder number and is selected as the active folder — the one that will hold any new photos you shoot. Press the Set button or tap the Set icon to return to Setup Menu 1.
To make a different folder the active folder, choose Select Folder again, choose the folder you want to use, and press or tap Set.