Use this option to create a new folder. The new folder will be generated at the location you are, before clicking on the new folder, make sure you are at the right path.
In the following window, as it says, use lowercase letters to name the folder. If you use underscore ("_") at the beginning of the name it won't appear in the side nav.
You could always link other pages to this new folder and its content, no matter it appears in the side nav or not.