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Just go to where you want your directory to be. For example, click on "My computer", then select your hard disk (C: usually) and go to the folder where you want to make another directory. Then Right click on that place, select New and then "Folder". Alternatively, you can make a new directory with one of the icons at the top of any save/load dialog box, hover your mouse pointer over each icon so it tells you which is which.
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