On the global toolbar, there should be an Add file icon. Also in the "File" menu.
Just type the name of the new file you wish to create, in this case a .xhtml file. It will create an empty file with that name.
Also take a look at checkpoints. They allow you to rollback changes, and all global actions create one. Additionally, one is pre-supplied to go back to when you opened the book. You can also create and name your own checkpoints.
Checkpoints are per-session only, and disappear when you exit.
Edit: Beaten... twice.

Good job, theducks, BR.

No action for an hour, then we all answer at once.