A bit of Googling suggests (based upon countless people posting similar questions to your own) that you're trying to do the impossible because the Windows 10 Mail app simply displays whatever folders it finds when it uses an IMAP connection to your account on your email provider's server.
So you need to log into your email account via your provider's web page (NOT with the Windows 10 Mail app) and create a new folder there. When you next log in with the app, your new folder should be shown. (You might need to click on 'More' to see it).
Alternatively, just use a
decent email client (rather than Microsoft's garbage) instead:
https://www.mozilla.org/en-GB/thunderbird/