Hi Yoshi,
To create a new Library, simply go to:
Start -> Computer -> Libraries - > Right-click -> New -> Library
The process is as simple as that.
It should be noted that if you are going to use Libraries for your music files in Windows Media Player, you already have a Music library. You can add as many folders throughout your computer, which contain music, to the library as you would like. However, adding additional libraries in Windows should not be a problem.
This is a very unusual problem, which could signify a problem with the registry or your installation. You should begin Windows diagnostics by checking the integrity of your system files and also scanning your registry for errors if the above steps do not work for you.