Navigate to the Lead or Job you want to set up a folder. Select the Add Folder button. This will bring up a pop-up where you can name and add the folder.
Once the folder is created, you can organise your files within it. You can also create subfolders to manage different organisation. To adjust permissions, click the three dots and select Sharing & Access. From the same menu, you can also download, rename, or delete the folder and its contents.
For further information on uploading files, see this article.