If you want to make folders on your "droid desktop", long press an open area, then click on folder. From there you can choose the type of folder. To rename a folder, open it up, and long press on the title of it in the top left corner.
To make folders on your Droid's file system, connect it to your computer, go to your notification bar, click on "USB Connected", then click mount. Let the device drivers install themselves (they should at least), then go to My Computer. (Assuming you're using windows). It should show up as a Removable Disk. Double click to open, right click an open area, and make a new folder. From there, all you have to do is copy your pictures directly in to the folder, and the Droid's gallery will automatically find pictures anywhere located on the phone. Once you're done adding files, go back to your Droid's notification bar, click "Turn off USB Storage", then click turn off.
Your files should now be on your phone.
