You have to make the folder outside of LimeWire and then add it to LW by going to Tools>Options>(Saving or Sharing), browse your hdd and add the folder from there.

You could also make a folder inside your shared folder. Open your shared folder outside of limewire (the easy way to do that is to go to the library page in LW hi-lite the shared folder, click explore and it will open outside if LW), right click on a blank spot, go to New>Folder, and make a new folder.

Open LW and refresh the library. Expand the shared folder and the new folder will be there. Files won't go there automatically, you'll have to add them manually.

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