Airport Extreme

The AirPort Extreme is a wireless router, so you cannot add a folder to that device.

Are you asking about how to add a new folder to a hard drive that is connected to the USB port on the AirPort Extreme?

If yes, open the drive using the Finder, then click on the gear shaped icon at the top of the window and select New Folder.

Basically, still the same answer and sequence with a Time Capsule

Open a Finder window and look for the Time Capsule icon under the Shared heading on the left side of the window

Click on the Time Capsule icon, then double click on the folder named "Data"

Then, click the gear shaped icon and select New Folder

If you have not ever done this, you may be asked for the Time Capsule password the first time that you try