No, there is not a way to create a new shell folder by default using the Windows interface, and is not a supported end-user scenario. For this reason, this discussion might be better suited to the TechNet or MSDN development forums rather than this Answers site.
That being said, there are 3rd party programs that create new shell folders. Some programs, such as Norton, do this for their own purposes. Other programs,such as this one, allow end users to create their own. There are also resources from Microsoft about how to leverage the underlying file system and features to create your own shell folder without a 3rd party tool. These can be found here:
• http://msdn.microsoft.com/en-us/library/ms997573.aspx
• http://msdn.microsoft.com/en-us/library/aa969312.aspx
• http://msdn.microsoft.com/en-us/library/cc144090(VS.85).aspx
This Wikipedia article also has some valuable information and links regarding shell folders.
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