Make a new folder

[chachadance]

Ok, on my ipod I have "Files, Database, Plugins etc.."
How do I make it so I can make a new folder there, and place things
inside of it?

[Chronon]

The "Files" entry takes you to the file browser and will initially show you the root directory of your player's drive.  You can make whatever file structure you like on the drive and access it through the file browser.

It sort of sounds like you wish to add an entry to the main menu pointing to a specific folder on your player's drive.  Something like that is discussed here:
http://forums.rockbox.org/index.php?topic=13051.0