Through the File Explorer
To create a new file on Windows 11 using the File Explorer, follow the following steps:
1: open Windows' File Explorer and navigate to the folder where you want to create your new file, e.g. the Documents folder.
2: right click on an empty area in the window's main pane to open its context menu.

3: hover your mouse over the item "New" in the context menu. A submenu will appear with many types of things you can create.

4: click on the type of file that you want to create to create a new file of that type in the current location.

By default, you will have very few types of files you can create in this way. You may be able to create:
- A Folder, which isn't a file.
- A Shortcut, which is technically a file, but most people wouldn't call it that.
- A Text Document, which is a file.
- A Compressed (zipped) Folder, which is actually not an actual folder, but a file.
When you install a new application, that application may add some items to this list. For example, if you install LibreOffice, you become able to create OpenDocument files from this context menu.
In most cases, however, the application WILL NOT add its file types to this menu. Instead, you will have to create the new file using the application itself.
Using an Application
To create a new file in an application, follow the following steps:
1: open an application that can edit the type of file that you want to create.
2: on the application's menubar, click on File, then New.... By convention, the keyboard shortcut should be Ctrl+N.

Creating a new file in this manner won't actually create a new file. In many cases, it will simply create a new document that only exists in the temporary RAM memory. This memory is reset completely when you restart your computer, so we can't use it for saving files permanently.
2: after creating a new document in the application, you must click on File -> Save on the menubar to save the new document as a file. This will display a save file dialog for you to choose the location (in which folder) where to create the new file.
Navigate to the folder where you want to save the file, type a name for the file in the filename field, then click on the Save button.
This should work in most applications.
If this doesn't work on a given application that you are using, it could be that's a badly made application. All good applications that can edit files have a menubar with a File menu with the conventional "New..." and "Save" items.
It's possible that your application doesn't have a menubar. In that case, the main menu could be hidden behind a button with three horizontal bars stacked on top of each other (a "hamburger" button). There are also some applications that only display a main menu if you right click on them.