If you're using FF, you can use the book mark manager. Click on bookmarks in the toolbar and click on organize bookmarks. It will bring up a new window and the simplest way to create a folder is to expand your bookmarks menu and right click below it. It will give you an option to create new. You can use organize bookmarks to move your bookmarks around, create categories and move bookmarks into them, etc.. If your using IE, I don't have the slightest idea.
