First create a 'Solution Folder' with the desired relative path. Note that Visual Studio 2012 does not create a system folder with the same relative path.
Now inside that 'Solution Folder' add a new project, but you must be careful when defining it that the relative path in the system matches the relative path of your new 'Solution Folder'. If the system folder you want does not exist, Visual Studio 2012 will now create it for the new project. (As noted above, it does not do this when you add a new 'Solution Folder'.)
If you want to add an existing file with the matching relative path, you must first create the file in the matching system relative path, from outside of Visual Studio. Then you can Add existing file in Visual Studio.