Open a command prompt and create a folder manually. Also, try to old alt+f and such to see if a menu exists.
In the past folk posed such a question and the other methods worked which only means the right click context menu was broke. Not the drive.
I got toshiba 3tb from bestbuy. I formatted it EXFAT to be compatible with my mac mini mid 2011 and my smasung np-rv-515 a01us upgraded to windows 8.
But I can't make any new folders or copy data over to the exfat. I right click and no new foler option. I thought windows 8 was EXFAT compatible.