For PCs you cannot create new layers through the ‘Entity Info’ window by just typing a new name in its ‘Layer:’ field. This is a Mac only feature.
On a PC the only option to create a new layer is through the ‘Layers’ window (Menu Window > Layers). Not to be mistaken for the other ‘Layers’ window (View > Toolbars… > Layers).
Which is odd by itself, for it is confusing (to say the least) that there are two different ‘Layers’ windows. The second one mentioned controles the visibility of the first one and also the active layer. Things that you can do with the first one (and more!) anyway. The second one should be avoided (IMO) at all times, for the active layer should (almost always) be Layer0. And making the first ‘Layers’ window visible/hidden could best be done by just toggling a shortcut key, say [V].