This tutorial is for Expression Web 3. If you need tutorials on Expression Web 2, click here.
Step 1: Across the top of the Interface you will see "File, Edit, View, etc". Look for "Site" and click on it. Choose New Site.
Step 2: In the dialog box that opens, choose Empty Web Site from the MIddle Column.
Step 3: Name the Web Site ( a web site, by definition, is a folder.)
In the image below, type in the name you want for the Folder that will hold your web site. The name is to be written where you see the words 'ExpressionWeb4" on the line titled "Location".
Click OK.