Hi Antonio
If you want to* create* a polygon shapefile from scratch, as your question
was titled, then you need to run the Create Feature Class tool and* only
provide the name of the folder where you would like the shapefile stored*
under the Feature Class Location. Then provide a name under Feature Class
Name (you can add the .shp extension if you want, but it will still create
a shapefile if you dont), select Polygon as Geometry type (it is the
default I think), select your coordinate system then hit run.
Regards