I was working with a client the other day who was using the Microsoft Azure Storage Explore. They were trying to create a folder in an Azure blob storage location and could not find the option to do it. We seemed to be talking about 2 different products. Funny enough we were.
When you do a search for Microsoft Azure Storage Explore, the CodePlex version still ranks very high on the search results even though it has not been updated since August 2014. People get tripped up if they remember the CodePlex version.
The Latest version is currently updated and is available on Windows, Mac and Linux. If you are using the free Azure Storage explorer, use this one.