Cmd-Tab to Finder. Cmd-Opt-H to hide everything else (if needed). Cmd-N for a new Finder window.
I don't know what ElDiablo means by "Command-Tab while holding down option", since that would actually be Cmd-Opt-Tab, which doesn't work the way he intends to. But no, there's nothing like Windows-E for a new Finder window from anywhere in the system, so you have to work around things by switching to the Finder first. Once you're in Finder, Cmd-N is your friend.
If you have a utility like LaunchBar or QuickSilver, you can "launch" Finder (even if already running) and it'll create a new window, too, just like clicking on the Finder in the Dock does. If no Finder window was already open, that is.