It would help if you showed us a screen capture, and also told us your operating system and exact version NUMBER of Lightroom.
Have you tried clicking on New Folder and then creating the new catalog in the New Folder?
Lightroom does that. You have to select or create a folder to store the new catalog in. Usually I have seen that once you create a folder the catalog is created using the same name as the folder name.
LR won't store a catalog in the ROOT of a drive. It has to be in a folder. LR also creates other Subfolders once a catalog is created.
Could also be the drive or folder you are trying to use does not have the proper permissions for your user name to access fully.