Here is an excerpt from a previous answer. Hope this helps you!
To create a new folder which is NOT in the Documents folder nor on the Desktop of your Mac, open a Finder window (equivalent of a File Explorer window on a Windows PC) - for me, I click on the "face" icon in my dock. Depending on the view you have chosen, you should see a window with a list of system folders (denoted with an icon within the picture of the folder as opposed to a plain folder icon) on the right and a list of "Favorites," "Devices," and "Tags" on the left. If the window isn't split into two, go to the View menu and select "Show Sidebar". Select the "house" icon at the bottom of the favorites list. Now right click (two finger click if using the touchpad) in the right side and choose "New Folder" when the menu pops up. Name it anything you want except "Documents" or "Desktop." This folder should show up in that window on the right from the home view, but it should not show up when you go into "Documents". That folder should be safe in which to put files (docs, pics, etc.) that you want on your hard drive, but not on the iCloud Drive.
