You can create a new folder while you're working in a Word 2013 document -- and other applications -- by selecting the "New Folder" button in the Save As dialog box. Creating a new folder while working within an application is a function of Windows File Explorer, not Word or any other specific application. You can also create a new folder separately in File Explorer and then browse to it in the Save As dialog box in Word.
Browse to the Location for the New Folder
Depending on your setup, you may have several locations where you create folders and save files. For example, you may have a cloud service such as OneDrive, in addition to your computer's hard drive. As a result, the File-Save As command prompts you to choose a location before opening the Save As dialog box.
If you're creating the new folder on your computer's hard drive, select "File-Save," click "Computer" and then click "Browse" to open the File-Save As dialog box. Navigate to the location on your hard drive where you want to create the new folder, and then click "New Folder."
Create the New Folder in File Explorer
You may prefer to create new folders in File Explorer in order to organize folders in a more deliberate way. You can open File Explorer at any time by pressing "Windows key-E." Then you can navigate to the location where you want to create the new folder and click either "New Folder" at the top of the File Explorer window, or press "Ctrl-Shift-N."