Control + Shift + N
produces the same problem.
I tried creating a new account and then creating a new desktop folder. Same problem.
I tried creating a new folder in Safe Mode. Same problem. SFC /scannow
shows no problems.
I ran a full scan with Windows Defender Offline. No problems.
I also ran quick scans in Microsoft Security Essentials and in Malwarebytes Ant-Malware. No problems.
The problem occurs everywhere I try to create a new folder.
I wonder if this problem will go away with new Windows updates.