creating folders in Pages

In Finder, you can right-click on your Desktop, or while inside another folder and choose New Folder from the secondary menu. This is easier to do in Finder than Pages.

Take note that Pages always remembers the last folder it saved a document into, and the next save operation will be located there. That said, when you first save a Pages document, it will have an up or down indicator adjacent to the Search field. You want that arrow pointing up to give you an expanded Save panel, and upon which is a New Folder button. When you click that button, a new dialog presents itself, tell you where you are about to create that new folder, and a name field:

I recommend single-names for folders. When you click create, a blank window will open inside of the new folder, where you can then save the current Pages document.

Also, note that Pages autosave only commences on the first save of the document. Knowing this will prevent you from lost content.

As you are new to Mac, the following may flatten the learning curve:

macOS Users Guide

Pages for Mac Users Guide