First, check that you didn't accidentally create the new folder as a sub-folder of a an existing folder. If so, you won't be able to see the new folder until you click on the top-level folder which contains it. (Look for a + sign alongside the folders which you can see. That indicates that it contains sub-folders).
If you still can't find it, try running a search for *.dbx
That should find all of your Outlook Express folders. If you locate the relevant folder, copy it to a different location on your hard drive. Then create a new (empty) folder, with the same name, in Outlook Express. Search for *.dbx again. This should find both the 'old' and 'new' folders. Right-click on each of them in turn, selecting 'Open containing folder'. With the two windows displayed side by side, drag the 'old' folder across into the window which contains the 'new' one. (Take care to do it the right way round!). When you're warned that you're over-writing an existing file, click to allow it to happen. When you restart OE, you should have your old folder back in it's correct position.
If you run a search for *.dbx, and you can't locate the missing folder, I fear that it may have gone for good.
Chris