At the bottom of the screen, there should be a section that says "Set up Class Folders." In that section, click the bright red "here."
You are brought to a page where you have to pick the class you want to make folders for (it should automatically populate with the list of courses you are teaching).
Once you have selected the class, you need to decide if you want individual folders for your students (each student gets their own), or if you want group project folders (so students working in groups have their own group project folder and they can all submit stuff there and work collaboratively).
After choosing the folders you would like to make, follow the "Individual or Group Instructions" that appear on the left-hand side of the web page.