Go into Disk management diskmgmt.msc
and from the action menu select Create VHD
Browse for the directory you want to make this VHD and give it a file name. Then enter the size and the type of VHD you want to create.
If you go into disk management from computer management it will ask you to initialize the disk pick MBR or GPT and click Ok
Right click on it and create a new simple volume.
Select what ever size you want and click next.
Choose how you want to format it and what volume label and click next.
And you should see the volume listed with a status of healthy.