That changed with Windows 8 and carries over to Windows 10. ALT+F,W,F doesn't work in those contexts anymore, either.
File Explorer changed with the advent of Windows 8, I think, it could be with 8.1, such that the old file menu is not there and CTRL+N doesn't create a new folder, but instead creates a new, second File Explorer window. CTRL+Shift+N replaces CTRL+N in File Explorer for creating a new folder via a keyboard shortcut. Brian
