Crete new folders and document sets
From the Outlook style experience for SharePoint , you can create new 
SharePoint folders and documents sets.
Outlook ribbon
  - Select a location on the left navigation of Outlook 
  
 - The Outlook style experience for SharePoint will be presented 
  
 - Select 'New' from the Ribbon 
 

Navigation tree
  - Select a location on the left navigation of Outlook 
  
 - The Outlook style experience for SharePoint will be presented 
  
 - Right-click on a location in the navigation tree and select 
   'New Folder /Document Set...' 
 
