If the folder option has disappeared, there are two solutions to that problem. One solution is to download and run the Create New Folder Fix file from the following link:
Then right click on the downloaded NewFolderFix.reg file and click on "Merge" to add to your registry . Click on the "Run" button in the Security Warning prompt, click on continue in the UAC prompt, click on "Yes" in the confirmation prompt, and click on "OK" in the success prompt. Then log off and log on, or restart your computer, to apply the fix. The “folder” option was then added to the choices on the menu.
This fix is supposed to work for both Vista and Windows7. I would recommend that you save the fix in case the “create a new folder” option disappears on you again.
Here is an alternate solution for that and similar problems: