I Don't question that you have a problem making a new folder in My Documents.
Let's make sure you are doing the correct operation.
Open Windows Explorer,
Expand Drive C.
Expand Documents And Settings.
Expand your user profile.
Click one time on My Documents
Click the File menu.
A new folder, named New Folder should be placed into your My Documents folder.
If you do these things, do you get the new folder?