yes you can.
Just make folders on your sdcard or the phone's memory using your computer. Start by creating a folder called media. then create a sub folder called pictures. Then create new folders in "pictures" with descriptions of the pics inside. drag the pics you want into the correct folders. They will sort alpha/numeric. For instance, I have my folders set by date. I have folders called:
09 05 Birthday - Meaning May 2009 birthday pics
10 01 New Years - meaning jan 2010 New Years pics.
etc.
If you don't have an sdcard, you can do this to the internal memory of the phone. Just creat a folder called media. then create a subfolder in media called pictures and put the folders containing the pics, in there.