Windows 7 introduced the much needed keyboard shortcut for creating new folders. To create a new folder, open up the explorer and just press CTRL + SHIFT + N, Windows 7 will creates a new folder and keeps it ready to rename.
This shortcut works only in the Release Candidate of Windows 7 but not in the beta version. So if you are running on Windows 7 beta version, it is time to upgrade it to RC and enjoy all the goodness of great Windows 7 OS.