Let me share that I author some WinMo apps. So I know the frustrations of those that just arrive onto WM (all flavors.)
I happen to have my iPaq 211 here so let me File Explore to Windows/Start Menu.
I see TWO ways to create a folder.
1. Using the stylus press down and HOLD IT DOWN until the menu pops up and there's our New Folder option.
2. On the bottom right is Menu and it has a New Folder option.
3. On this version of WinMo it will move that folder magically to the Programs folder.
Shortcuts can be put in said folder.
-> Be aware that this system is not what many are expecting today. It's very old.