Well, thats because when you first bought your computer, the manufacturer only put one partition for the whole drive which is especially annoying, seeing as if it crashes, you run the rish of losing all data, instead of the data only on one partition
What i would recommend is use QTParted from a Knoppix CD, you can resize the primary partition which in your case is C:\ so that you have more free space and then you can create a partition ...
Make sure that you run a system check on your hard drive (chkdsk /f in command prompt) and back up anything or everything that is important ...