I need automatically subscribe on new IMAP folders created by my IMAP server in Gnus. How to do this?
You could fix the value of gnus-auto-subscribed-groups so that it includes the nnimap backend as well as the other mail backends. You might run into difficulties if your IMAP server does something funny like present all of your home directory as mailboxes (think I'm joking? try uw-imapd); then maybe setting nnimap-list-pattern will help.
Oh, and if you don't see your newly subscribed groups, it could be because Gnus auto-subscribes groups at the zombie level, meaning that they are not really very subscribed. Fix that by setting gnus-subscribe-newsgroup-method. Gnus is like that; you really can't avoid studying the manual.