To make a 'New Folder' in Windows Explorer the key commands are
alt+F,W,F (capitalization doesn't matter)
That is the quick command for File>New>Folder so it's not really a quick key, but it's faster than right-click..wait..new..wait..Folder.
It doesn't work on the desktop unless Windows Explorer is open to the Desktop. You could bind a special key to make it just one button if you were so inclined.