The Studio right click context menu has "New -> SAS Program (F4)" available. When you select that, it opens a new SAS program.
When it does that, though, you have to save that program in the folder you want it in. While that's an appropriate UI for a F4-created new program, or one created when you select the New option from the top of the page, it is unnecessary extra steps for someone who already has the folder open they want to save to.
Please change that workflow (either if you select the folder name, or if you right click on a file inside that folder) so it creates an empty file in the selected folder, and either prompts for a name then (by going into rename file mode and moving the cursor there), or asks for a new name when you select "save" (ctrl+s) but defaults that to the folder that was right-click selected for that file.