Creating folders from the Open File dialog
This cannot be done from the Open dialog on the Mac. It, however, can be done from the "Save" dialog.

Enter the "Save" dialog (in Word, it's usually shown as a sheet). If you don't see the file tree, click the down-arrow next to the filename box (it's circled in the below image).



In the expanded window, navigate to the folder where you have your client information. To make a new folder, click the "New Folder" button in the lower-left of the sheet (again, circled in the below image).



(Screenshot examples from Word 2011.)