Bothering me that rox-filer default ctrl+n is set to Create New File. So, how to change it to Create New Directory? After scouring Google, #rox, and the mailing list I pieced together the information. You have to have ROX-Session running in order to edit the menu entries. I guess it's assumed in the Help that you do have ROX-Session running.
Of course, it would be nice to just have .roxrc or something equivelant...ROX Faq Keyboard Shortcuts