Creating a new window using Selenium WebDriver allows you to perform tasks in a shared session while dealing with popup windows. Selenium IDE provides commands such as `openWindow`, `waitForPopup`, and `selectwindow` to interact with multiple windows. However, these commands have limitations when it comes to playback testing. To overcome this, developers can use the Selenium WebDriver API to create new windows and switch between them in their preferred programming language, such as Java. The example provided uses Java and opens a new window using JavaScript to redirect to a search page, then switches between two windows and asserts the titles of each page. This approach allows for more flexibility and control over the testing process.