Keyboard: SHIFT + ALT + N
Menu: File -> New Web Site
Did you know you can create Web Applications and Virtual Directories in IIS from inside Visual Studio?
Just go to File -> New Web Site and click on the Browse button:
Choose "Local IIS" and pick a web site you want to create the new item in:
In the upper-right corner of the dialog you will notice buttons:
One creates a Web Application:
The other a Virtual Directory:
You can pick which one you want to create and never have to leave Visual Studio.