Creating new folder in sharepoint

Hi - I am using Office 2013 and using the "Save as" function in Word want to create a new folder on the SharePoint site. there does not seem to be any way to do this through the "save as" dialog process. The "new folder" option only seems to be available for saving on the local hard drive. It seems I need to go into file explorer, create a new folder and then go back into Word to save to it.

Thanks - Tim