Try this in System Preferences > Keyboard Shortcuts -
Select the item at the bottom of the list in the left pane, "Application Shortcuts".
Click the "+" button under the right pane.
In the new dropscreen, select "Finder" from the Application pulldown menu.
Enter New Folder in the Menu Title box.
Click in the Keyboard Shortcut box, then press Command-N
Click the Add button.
I haven't tried that, but in another instance a new shortcut did override an existing one.
Yeccch, it's buggy. I tried creating the new shortcut and then I looked in the Finder to check my work. It removed the old shortcut for New Finder Window but now it refuses to recognize my new shortcut for New Folder, Insisting on leaving the old shortcut for New Folder in the menu, even though I have changed it in System Preferences. Now it has the same shortcut for both New Finder Window and New Folder, which is obviously not right. Tried deleting the one and then re-adding it, etc. No dice.
I just got a new MacBook Pro. I can verify that Don Archibold's instructions work on Lion 10.7.4. I added New Folder with ⌘N, then added New Finder Window with ⇧⌘N. I did like rzm2u suggested and used the Activity Monitor to force quit the Finder after each change, and it works perfectly. The actions show up with the correct command keys under File in the Finder. Will upgrade to Mountain Lion tomorrow, and if the settings don't stay, I'll try this modification again. (By the way, command-option-esc to force quit Finder did not work for me. Only quit process in Activity Monitor did the reset.)