I've seen videos that when you click on New File, it asked you the filename right that time.
However, mine just gives me a blank file, only when I press Command+S, it asks me for the filename.
Any ideas why?
Can you link the video you saw it in? The closest thing I can think of are plugins like AdvancedNewFile and FileTemplates. There may be others, those are just two that I know of. But as far as I know, these two will prompt for a name when a key binding is used, not when new file is selected (through the menu).