While that can work, it will not always work.
It will work IF you do not have anything already selected in the right pane (of a dual pane) Explorer.
If you have something selected in the right pane, or in the single pane of a single pane Explorer window, then what you will end up doing in opening (if a folder) or activating (if a program type of file).
What will probably work, whether or not you have an item selected, is ALT (you can let go of ALT, of not, doesn't matter) F then W then Enter.
But I wouldn't bet my life that that is going to work all the time, either.
Nice try, no cigar.
Making a New folder the easy way
Hold down ALT whilst in Explorer press ? F? then Enter +Enter
Hey presto a new folder ready to be named in the file you wished.