Back in the good old days, I am pretty sure, all the PST related stuff was in the normal file menu. Not anymore. I wanted to create a new PST file and I had to look quite a while before I found it - Microsoft has it hidden quite well:
It's in the Home ribbon, under "New Items -> More Items -> Outlook Data File".
I never liked those Ribbons, but anyway, maybe this will save someone else ten minutes.