My folder is a private folder accessible to you only. You can upload files directly in this folder by clicking on the Upload file button at the top of your screen. The folder is easily recognisable thanks to the star icon.
Note: You need to have the permission Upload files enabled in order to upload files and be able to view My folder.
This feature gives you the option to store files that are work in progress or that belong to marketing campaigns that are not public yet. Once you are ready to share those files with your team, simply move them to shared folders by hovering on the file/folder.