1) Select a folder in Finder / Explorer containing a single file
2) Drag the folder to the Project panel in Premiere
In older versions of Premiere, this would automatically create a Project folder with the file - just like the operating system. Now, only the single file appears. A folder must contain two or more files for Premiere to create a folder.
Please bring the old behavior back! The ability to automatically create folders is great when an editor wants their Project folder to mirror the folder structure outside of Premiere.