Make sure your mailboxes and folders are displayed in the mailbox panel window (see this topic). Then:

• If you want to create the mailbox at the top level right-click Eudora in the mailbox panel window, otherwise, right-click on the name of the mail folder in which you want to create the new mailbox. Click "New" on the menu that comes up.
• The New mailbox dialog will appear. In the "Name the New Mailbox" field, type the name of your new mailbox. Click OK.
• Your new mailbox will now appear in the mailbox panel window under the appropriate mail folder (if any).