Open Outlook Express
Left click on File and select Folder, New... Ctrl+Shift+E

When the Create Folder window opens
Select the folder in which to create the new folder: i.e. it can be added to the Local Folders, or any Folder attached to the Local Folders or it can be a sub folder of a folder attached to the Local Folders.
In Folder name: type a name for your new folder.
Left click on OK

Add your new Folder to the Outlook Bar
Right click on the Outlook Bar and select New Outlook Bar Shortcut

When the New Shortcut window opens
Under Add this folder to my Outlook Bar
Select My New Folder
Left click on OK

My New Folder will now appear on your Outlook Bar