The option to create solutions from the file menu have not been available for several generations of Visual Studio now. But new for the 2010 version is that Visual Studio does not ask me where I want my new project and solution. It always put the in My Documents:

C:\Users\db\Documents\Visual Studio 2010\Projects

If you want put your projects somewhere else, or just want a blank solution without a project. The You should open “Other Project Types/Visual Studio Solutions” where “Blank solution” is available. This is much nicer than the other way I have seen suggested other places: to create a project to get a solution and then delete the project from it.