The New Folder button is only available on the collection toolbar when an AceText Collection tab is active.
Click the New Folder button, or press Shift+F4 on the keyboard to add a new folder to the collection. This will move keyboard focus to the edit box for the label, so you can type in the folder's label immediately.
If more than one clip and/or folder is selected when you add the new folder, those clips and/or folders will be put inside the new folder. The new folder will be put inside the folder that previously held the selected items.
If you add the new folder while a single clip or folder is selected, the new folder is added inside the folder that contains the selected item. This means that if you want to put a folder inside another folder, you need to select a clip inside that folder first. Otherwise, you need to use Move Up or Move Down after creating the folder.
See Capture, Enter and Store Text to learn how to use AceText.