The New command creates a new, unsaved file buffer. The file is not created on disk until you save it using the Save or Save As commands.
The New command will prompt you for a file name. By default, the new file is given a name of the form New0001.ext. The next time you use the New command, the new file name will be New0002.ext, and so on. The extension used will be the same as the current file. The name and extension you type will determine what file types will be in effect for that file.
When you save new files for the first time, Source Insight allows you to change their names, and asks if you want to add them to the current project.
Another way to create a new file is to use the Open command and specify a file name that does not exist. Source Insight will ask you if you want to create the file. Assuming you do, Source Insight will create a new unsaved file with the name you specified.