Next to the window where you select the folder you want to save in, find the icon that looks like a folder with a star on it…

…click there and a new folder will appear. However, not all programs use the New Folder Icon (see below).

Depending on the program, you may see a pop-up window asking for you to name the new file. However, the name field may be highlighted and ready to name, or you may need to click on it, to give it a name.
From there, you can save your file just as you normally would.
No more hassle of using Explorer or navigating through folders-just create a new folder from the Save As area.
~ David

