“Right click” on your desktop (if you use windows) and create a new folder. Name it appropriately for your new child theme, then upload it to your /wp-content/themes directory using your ftp client.
You can also use your ftp client or the file manager located in your hosts control panel to navigate to your /wp-content/themes directory and then create the new folder right from there, if you like.
You won’t do this from WordPress, but from the control panel of your hosting account.
So, you’ll want to log into your control panel, select the File Manager, then navigate to the themes folder in your WP installation. There should be a button to create a new folder at the top of your File Navigator. Once you’re in the theme folder, just follow the directions you linked to.
Eric