First of all, open "My Computer" (may be launched from Start -> My Computer, or by double-clicking "My Computer" icon on the desktop).

You will see a window with a number of drives (such as "A:", "C:", "D:", "E:"). Number of letters may vary.

Now navigate to the place where you want to create a folder.
If it is your Memory stick, then once you connect your PSP (or Memory Stick to your PC), your Windows should recognize a new "Removable drive".

This drive will be assigned a new drive letter ("F:" or something else) upon pluggin in.

Now double click this "F:" drive in "My Computer".

To create a folder, just right-click with your mouse the whitespace of the window, and choose "New --> Folder", as depicted:



Now a new folder will appear, with its title selected. You may now type using your keyboard any folder name you want or require ("MP_ROOT" or "Bob Marley Songs"). Once done, press "Enter" on your keyboard.


P.S. If you need to create a few folders (a mini tree, such as "MP_ROOT\100MNV01"), just create the upper folder first ("MP_ROOT"). Then enter it, by double-clicking the folder name, and create a second folder ("100MNV01") inside it. And so on.

Happy folders creation!