When you create a new folder in My Documents, just like elsewhere Windows Explorer should use the default name 'New folder'.
You should just have to open Windows Explorer (WinKey-E), select Documents in the left column under Libraries, and if present, double click the Larian Studios folder (or expand the folder in the left column and select it there). To create a new folder, right click in the right pane and in the New menu, select Folder.