When you launch WSAD for the first time, it prompts you to create a workspace. The dialog has a checkbox that asks if you want to be prompted each time. If you uncheck it, so as to not be prompted each time, it will never ask you again. This is great, until you actually need to create a new workspace! There's no File->New Workspace or anything like it, and the solution is quite elusive.

Elusive, yet simple.

Open up your handy dandy command line window, CD into your WSAD installation folder, and do the following:

cd C:\Program Files\IBM\WebSphere Studio\Application Developer\v5.1.1
wsappdev -setworkspace

This will launch WSAD and cause it to prompt you to create a new workspace, again with that tricky little checkbox.

I created a ShortCut to run this that I added to my WebSphere Studio folder in the start menu. You can download the shortcut here. You may need to repoint the target if you're using a different version (than 5.1.1) or have installed it to a non-standard location.