Welcome to MobileRead...
If you read all of the information on that page you referenced would see down the bottom that it does *not* apply to the Kindle Touch or Fire modes, only Kindle 2, Kindle 3, and the entry level Kindle 4 Non-Touch.
Your profile says you have a "Kindle 4" - so if it is the non-touch model then you can get the "Kindle Collections" plugin for calibre, which you can see in the plugins subforum.
The FAQ I think you are referring to (the official calibre one) refers to the fact that collections cannot be managed on *any* Kindle in quite the same way that they can on other devices like a Sony. The plugin I mentioned above is a great workaround for the Kindle models that it supports, but Kindle Touch/Fire owners are without a calibre based option.
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