To create a new disk image, all you have to do is tell AppleWin to use an image file which doesn't already exist and the emulator will automatically create a new image file. Specifying a new disk image is like inserting a blank, unformatted floppy disk into a real drive. This means that the image must be formatted by emulator before it can be used. Specifically, this is what you'd do using DOS 3.3:
You now have a working disk image, which you can use to save documents or other information. If you want to fill this image with data from a real floppy disk that you have, then you need to "transfer" the disk's data. See the Transferring Disk Images topic for more information.
Please note that not all disk image types supported by AppleWin can be created in this manner. Since there is no way to detect the image type from the image itself, it is determined by the given file extension only. Three extensions are allowed: (.DSK, .DO, .NIB). The first two create a "DOS Order Image" and then latter creates a "Nibble Image". If the extension is completely omitted, ".DSK" will be chosen by default. For more information, see Disk Image Formats.