Why is "New Incognito Window" disabled in Chrome?

Simply add the following dword entry in the registry as this link describes:

Windows registry location:

Software\Policies\Google\Chrome\IncognitoModeAvailability

Supported on:

Google Chrome (Linux, Mac, Windows) since version 14  
Google Chrome OS (Google Chrome OS) since version 0.14

Description:

Specifies whether the user may open pages in Incognito mode in Google Chrome. If 'Enabled' is selected, pages may be opened in Incognito mode. If 'Disabled' is selected, pages may not be opened in Incognito mode. If 'Forced' is selected, pages may be opened ONLY in Incognito mode. 
0 = Incognito mode available. 
1 = Incognito mode disabled. 
2 = Incognito mode forced. 

If this is a work system, then the creation and maintenance of this key (and in turn the availability of the option) may be under the control of your network admin.

@ukanth way is right and to save-up some more time you can copy the below text and save it in a text file and rename it to some_name.reg

Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Google\Chrome]
"IncognitoModeAvailability"=dword:00000000

Later you can double click this file to enable incognito mode.

(Tested and working fine in Windows 10)