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With Android Emulator running, start a Terminal (in Linux), switch to the <android sdk>/tools folder. type the command:
$./adb shell "mkdir /sdcard/myFolder"
where:
<android sdk> is the location of your installed android sdk.
myFolder is the folder you want to create.
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Related article: Create SD Card in Android Emulator and copy files into, in Eclipse, Emulator and DDMS.