git doesn't have a concept of "folders" by itself. Git tracks files and if a file happens to have a name like `foo/bar/baz.txt`, then when git recreates the repository locally it creates the `foo` folder, the `foo/bar` folder, and then the `baz.txt` file within the `foo/bar` folder.
So if you want to create a folder within a repository, you have to create a file within it. One common way people do this is to create an empty file named `.gitkeep` in the directory that they want to exist.
To create a folder this way through the GitHub web interface, you would follow the instructions for creating files. When it comes time to name the file, you would enter `foo/bar/.gitkeep`. You'll notice that each time you press the `/` key, the GitHub UI recognizes that you mean to create a folder. Once you finish following the instructions, you'll see that the folders and file exist, like I did on my test repo.
I hope that helps!