Sorry, I could not find the location: C:\Users\AppData\Roaming\ESRI\Desktop10.0\ArcMap\Templates
Do I create it or there is a specific funtionality for the location?
I would like to create different templates for the areas we mostly use the maps.
2 things you might be doing wrong here.
Firstly - the above path is for a Windows 7/Vista/Windowse Server 2008 OS. If your on XP, the path will be in your documents&settings/username/(etc)
But I also spot your path does not actually have a username in it. Between Users and AppData, you should have the folder that is the profile that you installed and use ArcGIS Desktop with (i.e. the profile you login to Windows with)
Third thing (which user found out them self) is that by default, the AppData folder is a hidden folder in all Windows Operating Systems. In the file/folder properties settings, you can choose to show these.
There's an excellent document on the WebHelp that describes options for where to store *.mxd files that you want to be recognized as Map Templates (including multiple System template locations) at http://help.arcgis.com/en/arcgisdesktop/10.0/help/00s9/00s90000002w000000.htm