Sometimes you can loose the "New" option on the right-click context menu. This seems to be related to the presence of Internet Explorer 4.x. To restore this option:
Start the Registry Editor
Go to HKEY_CLASSES_ROOT \ Directory \ Background \ shellex \ ContextMenuHandlers \ New \
The value for (Default) in the right-hand pane should be: {D969A300-E7FF-11d0-A93B-00A0C90F2719}