Your web site hosting control panel will probably have a file management section that will allow you to create a new folder. Then you will need to set the permissions as directed. This is sometimes called ‘CHMOD’. There should be an option in the file manager to do this.
Alternatively you can create the folder locally on your computer then FTP it on to your web site. You will need to then set the permissions. If you have an FTP program (cuteftp or similar) look in the help screens how to ‘CHMOD’ the folder.