on your desktop just right-click anywhere in the open space and select 'New' and then 'folder'. You can rename the folder at any time by right-clicking on it.
Deleting unwanted files is easier than that, though. Just right-click on the file itself and select 'Delete'. That will send the file to your recycle bin, where it will stay until you either delete it permanently by emptying the bin, or restore it to its original location.