MD is short for "make directory", and it creates a new empty folder. MKDIR works too, and is the same command with a longer name. Nothing was printed, which (as usual) means it worked.

Run DIR /W afterwards and there it is, in brackets: a folder with nothing in it yet. The file tree on the left will show it as well.

Keep the name to eight characters or fewer with no spaces, and you will be playing by the real MS-DOS rules.