Most of the computer uses don't know there is a hot-key to create new folder in Microsoft windows. Actually there is couple of way to do this.
New Folder In Windows 7
Windows 7 developers are bit of smart because they add a Hot-key combination to create new folder.
If you are a Win7 user you can try this out by simply pressing Ctrl+Shift+N
Keyboard Accelerator Keys for Other Platforms
Actually this keys work only in Windows Explorer so there is a limitation but anyway this will save your time.
When you get focus(active) to the Windows Explorer simply press Alt+F+W+F
I think this Hot-keys will works pretty well once you get used to it, and it doesn’t require any additional software.