You either create a new folder directly onto your desktop or create one elsewhere and then put a shortcut to it on your desktop.
To simply put a new folder onto your desktop, right-click on it and select New>Folder. When it appears, give it a name and hit 'Enter'. To save files to that location, go to File > Save (or press Ctrl and S together). Click on 'Desktop' and then double-click on the folder.
To create a new folder within, say, 'My Documents' go to 'My Documents' and right-click to create a new folder, as above. Then right-click on that new folder and select 'Send to > Desktop (Create Shortcut)'. To save files to that folder, go to File > Save (or press Ctrl and S together). Then navigate to that folder and double-click on it.