This
How to create folders in Vim (by preference using NERDTree)?
should give an answer. Just type m in NERDTree window and a dialogue appears in a QuickFix window
In addition there has been made a plugin on top of nerdtree https://github.com/ivalkeen/nerdtree-execute which allows to execute files with m+x -> I use it to open pdfs I get from compiling LaTeX