In the Folder Panel, make sure that you are in the Tree View rather than the Flat View. Then right-click on the drive, folder or sub-folder where you want to add a folder and select New Folder.
Once your new folder has been created, you can drag and drop files that you have selected in the grid to the new folder. Or, you can drag and drop an entire folder from the tree to the new folder. (This will create a sub-folder.)