How to create a file folder for use with Listen Audiobook player

I can't figure out how to use this Listen book player, I've Installed.

First I see this.

Hitting OK, I see this:

I can't understand how to tell it where to find my books.

I've downloaded one already, it is in downloads. I can select it (outside of the Listen app) but I can't figure out how to create a folder in which to put it.

I think I'm missing some basic file navigation ideas. I've used Android for over a year, but have not needed to move files to specific locations.

Edit: I've installed a File Manager, and added a directory, but no change.