Click on the Project Pipeline (three bars) icon on the Toolbar.
Select My Folders from the drop-down list, next to your username.
Select Settings next to the All option.
Then select + Add New Folder.
On the Add New Project Pipeline Folder screen that appears, create a name for your folder and toggle Visibility to adjust who can see the folder.
Don't forget to click Save when you are done.
If you are the Admin User for your subscription, you can set this as a Main Folder, which will show up in the Project Pipeline for all team members.