Agree with B. Diddy-- but be aware that you can create new picture folders/albums in two places: the general Picture folder, as B. Diddy indicates, and the folder located at DCIM/Camera, which is where all pictures actually taken with the default camera app are saved.
Also, if you want to be able to create new albums/folder on your phone without have to connect it to the PC, download a file manager app (which are similar to Windows File Explorer on your computer). I recommend ES File Explorer- highly useful for all your file managing needs (aka looking through the files on your phone without needing a computer+cord at hand).