Using the Sony Library software, in the left pane at the bottom is a plus sign. Clicking on that will allow you to create & name a folder/collection. The folder will be placed under the Library category if that is the screen you have open. If you have your Reader connected and are viewing the contents of your Reader and click the plus sign you will create a folder/collection on your Reader. Once an ebook is in your library, you can drag & drop it into any collection you choose.
If you have identical folder/collections created under both the Library and the Reader you can "sync" just that particular collection if you like, rather than syncing your whole Library to the Reader. Sync has caused many people a great deal of trouble (myself included) so I prefer to just drag & drop ebooks where I want them. If you have trouble with the sync issue, there are several threads that deal with that.
I hope this helps.
Oh! and
Welcome to MobileRead Helen! I hope you enjoy your Sony Reader as much as I enjoy mine, whichever model you have!