New Folder option is missing while creating a new one

I open My Documents to create a new folder, which I will use to arrange all my files accordingly. To my surprise, when I click on New then point to the drop down menu, there is no folder option. I can only see shortcut and below is the list of the recently applications I have used.

I am running Windows Vista Home Premium Service Pack 1 with Intel Core 2 Duo.
I run on safe mode, but it didn’t work. There is no error, but there is also no new folder option on my windows explorer.
Help please.
