The only way I know is to write a batch file using the "make directory" command. Then create a shortcut to the batch file and assign a shortcut key. The batch file would look something like this depending on where you want the new folder located.
Open Notepad and type the following:
md c:\windows\desktop\"New Folder"
Save the file with .bat extension. Next, create a shortcut to the batch file. Go to the properties of the shortcut and assign a shortcut key (put the cursor in the shortcut key field and press Ctrl and N for example).
There may be a better way, but this seems to get the job done.