This is one of my pet peeves with OS X. I never use command-N to open a new window. I often want to make a new folder. What I used to do was hit command-N, stare dumbly at the window I didn't want, slap myself on the forehead, close the window then type shift-command-N to create the folder I really wanted.
Now I use Keyboard Maestro. It lets you remap command-N so that it creates a new folder like it should.
Make sure to set the option to only do this for the finder.
I also sent Apple a message about this on the feedback page.