Where is the "New Folder" feature using right - click?

[onenormalman]

When right click in a window like My Documents, Programs, or on the desktop I don't see the option to open the New Folder. Inside a window like My Documents, with right click there are:

-View
as Web Page
Large Icons
Small Icons
List
Details
- Customize this Foder
- Arrange Icons
By Name
By Type
By Size
By Date
Auto Arrange (greyed out)
- Line Up Icons (greyed out)
- Refresh
- Paste (greyed out)
- Paste Shortcut (greyed out)
- Properties

On the desktop when right click:

-NVIDIA Analog Display
- Active Desktop
View As Web Page
Customize my Desktop
Update Now
- Arrange Icons
By Name
By Type
By Size
By Date
Auto Arrange (NOT greyed out)
- Line Up Icons
- Refresh
- Paste (greyed out)
- Paste Shortcut (greyed out)
- Properties

I don't remember what they used to have but seem strange to me. And in My Documents window I don't have choice to Print when click on the pull down menu File, is it normal?

I'm using Win 98SE.