There are two ways to create a new Discussion.
First, make sure you are in the Discuss application (click on the gray Discuss tab). Then click on the blue New Discussion command.
You will be in the document editor where you can type in the Discussion title and create your "starter document" for the Discussion (this is the first text that starts off the discussion - it might be a simple question or might be paragraphs of text).
The alternative method to create a new Discussion is quicker since it obviates the need to select a folder. Whenever you are viewing a list of documents and folders, you will see a <New Discussion> command located just underneath each green folder name:

When you click on this new Discussion command it will create a new document instantly, locating the document in the same folder.